# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-26-010351
**Filing Date:** 2026-2
**Character Count:** 1348999
**Document Hash:** b4c9c229873fa6d858a071cfb93b8fcb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-010351.hdr.sgml**: 20260206

**ACCESSION NUMBER**: 0001410368-26-010351

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260206

**DATE AS OF CHANGE**: 20260206

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036

**ORGANIZATION NAME:**
- **EIN:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 26605218

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP JPMorgan Core Bond Fund (Series ID: S000079874)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000241300 | Service Class  |  |
| C000241301 | Standard Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

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

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

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

- **a. Name of Series:** LVIP JPMorgan Core Bond Fund

- **b. EDGAR series identifier (if any):** S000079874

- **c. LEI of Series:** 549300G0KAUIXSZUYB35

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

- **a. Date of fiscal year-end:** 2025-12-31

- **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:** $3734882613.16

**Total Liabilities:** $1787647.42

**Net Assets:** $3733094965.74

**Cash Not Reported:** $6752470.84

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3390.30000000 | **1-Year:** -67076.24000000 | **5-Year:** -221806.83000000 | **10-Year:** -267470.04000000 | **30-Year:** -121893.70000000

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

- **3-Month:** -222.92000000 | **1-Year:** -4364.15000000 | **5-Year:** -15737.16000000 | **10-Year:** -18987.90000000 | **30-Year:** -11877.11000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241300 | 0.56%                | 0.70%                | -0.39%               |
| Class ID C000241301 | 0.58%                | 0.72%                | -0.37%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $404168.52               | $6540085.54                                |
| Month 2  | $746414.04               | $11070489.68                               |
| Month 3  | $354853.28               | $-25605901.41                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO BANK NV                                      | ABN AMRO Bank NV                                                                | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    900000 | PA      | $857750.35    | 0.02%             | 2029-12-13      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                      | ABN AMRO Bank NV                                                                | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   2200000 | PA      | $2271836.38   | 0.06%             | 2035-12-03      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                   | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    133000 | PA      | $102243.28    | 0.00%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                   | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    156000 | PA      | $106519.77    | 0.00%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                   | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    219000 | PA      | $226093.45    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                               | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     35000 | PA      | $23660.17     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     96000 | PA      | $99100.02     | 0.00%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     42000 | PA      | $35953.58     | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16939.51     | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                          | AES Corp/The                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1640782.21   | 0.04%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                         | AIB Group PLC                                                                   | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   1490000 | PA      | $1582327.78   | 0.04%             | 2029-09-13      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                         | AIB Group PLC                                                                   | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   2340000 | PA      | $2469525.25   | 0.07%             | 2035-03-28      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                         | AIB Group PLC                                                                   | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    725000 | PA      | $748161.29    | 0.02%             | 2031-05-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                               | Corebridge Global Funding                                                       | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    745000 | PA      | $749483.56    | 0.02%             | 2032-08-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2023-SFR2 Trust                                                            | CUSIP: 00178YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1907363.60   | 0.05%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2021-SFR1 Trust                                                            | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5059000 | PA      | $4837810.91   | 0.13%             | 2038-06-17      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RAG7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    390000 | PA      | $422613.27    | 0.01%             | 2038-01-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RHW5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1018031.03   | 0.03%             | 2027-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    520000 | PA      | $508114.59    | 0.01%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    381000 | PA      | $267732.31    | 0.01%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52427.44     | 0.00%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1280429.30   | 0.03%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1495000 | PA      | $1000490.19   | 0.03%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    226000 | PA      | $150435.14    | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    160000 | PA      | $105513.50    | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $930282.57    | 0.02%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $137568.36    | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMY5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    266000 | PA      | $272583.37    | 0.01%             | 2035-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    264000 | PA      | $265551.37    | 0.01%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                   | Abbott Laboratories                                                             | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    620000 | PA      | $623808.08    | 0.02%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    370000 | PA      | $329115.65    | 0.01%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98138.92     | 0.00%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $100151.99    | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    530000 | PA      | $525871.46    | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    510000 | PA      | $455258.80    | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $980030.34    | 0.03%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59068.59     | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YDA4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185244.89    | 0.00%             | 2044-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    455000 | PA      | $467597.38    | 0.01%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS LLC                                | Chubb INA Holdings LLC                                                          | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    450000 | PA      | $449154.24    | 0.01%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                 | Accenture Capital Inc                                                           | CUSIP: 00440KAB9<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    435000 | PA      | $436575.73    | 0.01%             | 2029-10-04      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                 | Accenture Capital Inc                                                           | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   3313000 | PA      | $3315598.05   | 0.09%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                 | Accenture Capital Inc                                                           | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   1637000 | PA      | $1613697.99   | 0.04%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2140000 | PA      | $2110913.14   | 0.06%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1771000 | PA      | $1716964.40   | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4205000 | PA      | $3882558.37   | 0.10%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    440000 | PA      | $448318.73    | 0.01%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    364000 | PA      | $372114.68    | 0.01%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    480000 | PA      | $474261.33    | 0.01%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AFRICA FINANCE CORP                                   | Africa Finance Corp                                                             | CUSIP: 00830YAF8<br>LEI: 213800LXFHRRXIJRXW97 | Long             | DBT              | NUSS              | XX        |    512000 | PA      | $524621.90    | 0.01%             | 2029-10-08      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-1                                                 | CUSIP: 00841WBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33672 | PA      | $33082.66     | 0.00%             | 2045-01-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                               | Air Canada 2017-1 Class AA Pass Through Trust                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    166816 | PA      | $159420.65    | 0.00%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1A PTT                                | Air Canada 2017-1 Class A Pass Through Trust                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    118696 | PA      | $113612.01    | 0.00%             | 2030-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-1A PTT                                | Air Canada 2015-1 Class A Pass Through Trust                                    | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     52600 | PA      | $52004.94     | 0.00%             | 2027-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    286000 | PA      | $287082.51    | 0.01%             | 2028-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    799000 | PA      | $748969.06    | 0.02%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1958000 | PA      | $1956943.68   | 0.05%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00914AAV4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    207000 | PA      | $210163.90    | 0.01%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                               | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1080000 | PA      | $1102542.16   | 0.03%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                               | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    709000 | PA      | $715556.37    | 0.02%             | 2030-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                      | Alabama Power Co                                                                | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     62000 | PA      | $67410.95     | 0.00%             | 2038-05-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                              | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |     23000 | PA      | $22971.10     | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                              | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    125000 | PA      | $93231.48     | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                              | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    240000 | PA      | $202923.21    | 0.01%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                                 | Alibaba Group Holding Ltd                                                       | CUSIP: 01609WBP6<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    771000 | PA      | $802896.48    | 0.02%             | 2035-05-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                      | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1529807.25   | 0.04%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                      | Altria Group Inc                                                                | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    610000 | PA      | $471675.83    | 0.01%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    480000 | PA      | $461591.66    | 0.01%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1021630.71   | 0.03%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    460000 | PA      | $377862.63    | 0.01%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    150000 | PA      | $120178.13    | 0.00%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   5570000 | PA      | $3329070.25   | 0.09%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    750000 | PA      | $677563.01    | 0.02%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    210000 | PA      | $209108.74    | 0.01%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    390000 | PA      | $304371.02    | 0.01%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                    | Ameren Illinois Co                                                              | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    185000 | PA      | $126797.76    | 0.00%             | 2050-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                                | American Airlines 2021-1 Class B Pass Through Trust                             | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3650000 | PA      | $3520366.24   | 0.09%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-1 A PTT                                 | American Airlines 2015-1 Class A Pass Through Trust                             | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    758537 | PA      | $748731.12    | 0.02%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                              | American Airlines 2016-3 Class AA Pass Through Trust                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     72857 | PA      | $70414.00     | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1 A PTT                                 | American Airlines 2014-1 Class A Pass Through Trust                             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     21957 | PA      | $21870.05     | 0.00%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 A PASS T                              | American Airlines 2015-2 Class A Pass Through Trust                             | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2199669 | PA      | $2160652.17   | 0.06%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust          | American Credit Acceptance Receivables Trust 2023-4                             | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2498477 | PA      | $2517146.41   | 0.07%             | 2030-09-12      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                               | American Electric Power Co Inc                                                  | CUSIP: 025537AN1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    260000 | PA      | $240249.08    | 0.01%             | 2030-03-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                   | American Express Co                                                             | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1315100.02   | 0.04%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                   | American Express Co                                                             | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1324303.85   | 0.04%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                   | American Express Co                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    770000 | PA      | $783626.24    | 0.02%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                   | American Express Co                                                             | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1649022.04   | 0.04%             | 2036-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST I                                | American Tower Trust #1                                                         | CUSIP: 03027WAK8<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | DBT              |  | US        |    160000 | PA      | $158410.43    | 0.00%             | 2028-03-23      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     44000 | PA      | $43765.38     | 0.00%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    230000 | PA      | $170772.59    | 0.00%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    150000 | PA      | $136131.04    | 0.00%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    130000 | PA      | $85399.68     | 0.00%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    275000 | PA      | $245643.66    | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     85000 | PA      | $54072.51     | 0.00%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   2990000 | PA      | $2990648.41   | 0.08%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                              | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $215950.23    | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                              | American Water Capital Corp                                                     | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     52000 | PA      | $41820.19     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                              | American Water Capital Corp                                                     | CUSIP: 03040WAX3<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    225000 | PA      | $160208.68    | 0.00%             | 2050-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                           | Cencora Inc                                                                     | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1589884.07   | 0.04%             | 2034-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                           | Cencora Inc                                                                     | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   2185000 | PA      | $2233190.37   | 0.06%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    300000 | PA      | $256677.56    | 0.01%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    428000 | PA      | $337336.68    | 0.01%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    120000 | PA      | $113104.90    | 0.00%             | 2028-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    390000 | PA      | $392165.53    | 0.01%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1248477.04   | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                         | Amphenol Corp                                                                   | CUSIP: 032095AL5<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    622000 | PA      | $555564.85    | 0.01%             | 2031-09-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                         | Amphenol Corp                                                                   | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1920181.42   | 0.05%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                    | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    227000 | PA      | $167428.12    | 0.00%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                 | Anchor Mortgage Trust 2025-RTL1                                                 | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3055000 | PA      | $3056658.25   | 0.08%             | 2040-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| ANCHOR MTG TR 2024 RTL1                               | ANCHOR MTG TR 2024 RTL1                                                         | CUSIP: 03332JAA9<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4049637.60   | 0.11%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust 2021-7                                                 | CUSIP: 03464JAC5<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    516269 | PA      | $454545.98    | 0.01%             | 2066-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust 2022-3                                                 | CUSIP: 03464TAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |   1160346 | PA      | $1130772.99   | 0.03%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                      | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $433294.78    | 0.01%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                      | CUSIP: 034863BE9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   2465000 | PA      | $2585553.31   | 0.07%             | 2034-04-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                              | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1606475.63   | 0.04%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                             | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    330000 | PA      | $328421.84    | 0.01%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                             | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55051.80     | 0.00%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    600000 | PA      | $583829.15    | 0.02%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    490000 | PA      | $405481.21    | 0.01%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                              | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1089000 | PA      | $677339.21    | 0.02%             | 2051-08-23      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                              | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1068000 | PA      | $1093925.13   | 0.03%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                 | Aon North America Inc                                                           | CUSIP: 03740MAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    439000 | PA      | $457662.35    | 0.01%             | 2031-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                 | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1756274.36   | 0.05%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                 | Aon North America Inc                                                           | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    620000 | PA      | $616853.31    | 0.02%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                  | Appalachian Power Co                                                            | CUSIP: 037735CY1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    209000 | PA      | $151600.00    | 0.00%             | 2050-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                             | Apple Inc                                                                       | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     82000 | PA      | $63585.76     | 0.00%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                             | Apple Inc                                                                       | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    140000 | PA      | $110590.85    | 0.00%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                             | Apple Inc                                                                       | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    965000 | PA      | $600625.48    | 0.02%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                    | Aqua Finance Issuer Trust 2025-B                                                | CUSIP: 03837GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3395000 | PA      | $3429513.23   | 0.09%             | 2051-05-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                    | Aqua Finance Trust 2021-A                                                       | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4335000 | PA      | $4045840.33   | 0.11%             | 2046-07-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd       | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                          | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    674587 | PA      | $674586.65    | 0.02%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                       | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    830022 | PA      | $828483.52    | 0.02%             | 2037-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                      | Ascension Health                                                                | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $179597.38    | 0.00%             | 2029-11-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                       | AstraZeneca PLC                                                                 | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $56989.85     | 0.00%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                 | Athene Global Funding                                                           | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    515000 | PA      | $509638.59    | 0.01%             | 2026-11-12      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                    | Athene Holding Ltd                                                              | CUSIP: 04686JAL5<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    550000 | PA      | $560163.97    | 0.02%             | 2055-05-19      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC                                | Atlantic City Electric Co                                                       | CUSIP: 048303CH2<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |    147000 | PA      | $147211.17    | 0.00%             | 2028-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42160.87     | 0.00%             | 2044-10-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    155000 | PA      | $123813.71    | 0.00%             | 2049-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    417000 | PA      | $258343.52    | 0.01%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560AZ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1080996.24   | 0.03%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560BB0<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    943000 | PA      | $857678.90    | 0.02%             | 2054-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                          | AutoZone Inc                                                                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $157712.25    | 0.00%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1376000 | PA      | $1354939.93   | 0.04%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    607000 | PA      | $621370.96    | 0.02%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1137179.80   | 0.03%             | 2030-04-10      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAT8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1412000 | PA      | $1412533.95   | 0.04%             | 2030-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RFK5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250096.15    | 0.01%             | 2027-02-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2642000 | PA      | $2724109.40   | 0.07%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2049224.60   | 0.05%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1525000 | PA      | $1525465.38   | 0.04%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    245000 | PA      | $244940.98    | 0.01%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    160000 | PA      | $159477.81    | 0.00%             | 2026-02-21      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    395000 | PA      | $382940.69    | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1316000 | PA      | $1331430.17   | 0.04%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1750000 | PA      | $1778660.56   | 0.05%             | 2030-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    740000 | PA      | $743924.95    | 0.02%             | 2030-10-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1270000 | PA      | $1261825.11   | 0.03%             | 2031-01-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC           | BBCMS Mortgage Trust 2020-C7                                                    | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610000 | PA      | $1451217.78   | 0.04%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                        | BAHA Trust 2024-MAR                                                             | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5541000 | PA      | $5737338.69   | 0.15%             | 2041-12-10      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc          | BAMLL Re-REMIC Trust 2024-FRR3                                                  | CUSIP: 054988AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5750698.20   | 0.15%             | 2050-01-27      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                       | BAE Systems PLC                                                                 | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     51000 | PA      | $53131.75     | 0.00%             | 2041-10-11      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                       | BAE Systems PLC                                                                 | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $177399.73    | 0.00%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    600000 | PA      | $595385.20    | 0.02%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    250000 | PA      | $230290.06    | 0.01%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    754000 | PA      | $625463.14    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                  | BAT International Finance PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    160000 | PA      | $159116.56    | 0.00%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                | BP Capital Markets PLC                                                          | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    507000 | PA      | $504380.92    | 0.01%             | 2030-03-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1500000 | PA      | $1591239.95   | 0.04%             | 2029-10-19      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    975000 | PA      | $1085596.14   | 0.03%             | 2034-10-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1942000 | PA      | $2025245.05   | 0.05%             | 2035-05-30      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   6165000 | PA      | $6579935.82   | 0.18%             | 2036-01-14      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $221509.51    | 0.01%             | 2032-01-20      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $250150.45    | 0.01%             | 2027-01-18      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| BG BETA I LTD                                         | BG BETA I LTD                                                                   | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   2632500 | PA      | $2690501.87   | 0.07%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                    | BX Trust 2019-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $820227.39    | 0.02%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1129599 | PA      | $1123951.48   | 0.03%             | 2038-10-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                            | BMO 2022-C1 Mortgage Trust                                                      | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308000 | PA      | $286237.21    | 0.01%             | 2055-02-15      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2820000 | PA      | $2894648.22   | 0.08%             | 2031-05-28      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3385000 | PA      | $3549812.98   | 0.10%             | 2036-05-28      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES LLC/CO-OBL                               | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc                         | CUSIP: 05723KAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $173657.34    | 0.00%             | 2029-11-07      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    110000 | PA      | $70361.06     | 0.00%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    385000 | PA      | $370158.64    | 0.01%             | 2053-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                   | CUSIP: 059165ES5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    850000 | PA      | $844012.39    | 0.02%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                   | Banc of America Funding 2004-1 Trust                                            | CUSIP: 05946XGF4<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      4961 | PA      | $3857.00      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                   | Banc of America Funding 2005-6 Trust                                            | CUSIP: 05946XP23<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     38221 | PA      | $35008.33     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                   | Banc of America Funding 2005-7 Trust                                            | CUSIP: 05946XV83<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      4073 | PA      | $3672.31      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                | Banc of America Alternative Loan Trust 2004-6                                   | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1347 | PA      | $748.14       | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL DE PANAMA                              | Banco Nacional de Panama                                                        | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |    300000 | PA      | $265763.84    | 0.01%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $196607.00    | 0.01%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $200070.00    | 0.01%             | 2028-03-24      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $414559.68    | 0.01%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $640031.82    | 0.02%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HBG9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $629908.36    | 0.02%             | 2031-07-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05971KAR0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2600000 | PA      | $2602757.30   | 0.07%             | 2030-11-06      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1599443.41   | 0.04%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2018-BNK14                                                                 | CUSIP: 06035RAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1424606.66   | 0.04%             | 2060-09-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1600602.08   | 0.04%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    890000 | PA      | $884988.73    | 0.02%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    720000 | PA      | $604858.56    | 0.02%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $2956573.72   | 0.08%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1083000 | PA      | $1009118.55   | 0.03%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4243000 | PA      | $3128485.89   | 0.08%             | 2041-06-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1302461.35   | 0.03%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    235000 | PA      | $232002.13    | 0.01%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2209662.74   | 0.06%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3510000 | PA      | $3209910.41   | 0.09%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1835373.49   | 0.05%             | 2033-07-22      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1943000 | PA      | $2018993.97   | 0.05%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    825000 | PA      | $860544.12    | 0.02%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    420000 | PA      | $448204.60    | 0.01%             | 2034-09-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2189000 | PA      | $2242021.32   | 0.06%             | 2035-10-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    813000 | PA      | $839304.05    | 0.02%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    710000 | PA      | $740244.48    | 0.02%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                 | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    206000 | PA      | $202753.85    | 0.01%             | 2027-09-30      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                 | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   3300000 | PA      | $3427367.36   | 0.09%             | 2030-03-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                      | Bank of Montreal                                                                | CUSIP: 06368MXV1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   2450000 | PA      | $2446880.59   | 0.07%             | 2031-09-22      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    980000 | PA      | $1096330.70   | 0.03%             | 2034-10-25      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RCB1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    633000 | PA      | $650909.84    | 0.02%             | 2031-02-11      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                   | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    111000 | PA      | $113596.83    | 0.00%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2020-BNK25                                                                 | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3467000 | PA      | $3218530.86   | 0.09%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2019-BNK20                                                                 | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534000 | PA      | $501562.44    | 0.01%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2019-BNK21                                                                 | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1088000 | PA      | $1028301.22   | 0.03%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2022-BNK40                                                                 | CUSIP: 06541LBU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    767000 | PA      | $679695.92    | 0.02%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2017-BNK5                                                                  | CUSIP: 06541WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $344663.78    | 0.01%             | 2060-06-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2017-BNK7                                                                  | CUSIP: 06541XAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1509000 | PA      | $1489160.88   | 0.04%             | 2060-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   1715000 | PA      | $1781723.74   | 0.05%             | 2030-01-22      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    245000 | PA      | $240696.30    | 0.01%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FAZ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    760000 | PA      | $760443.52    | 0.02%             | 2026-01-26      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1450000 | PA      | $1474044.81   | 0.04%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $182239.42    | 0.00%             | 2032-11-24      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    853000 | PA      | $917234.53    | 0.02%             | 2034-05-09      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $761660.94    | 0.02%             | 2027-09-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1262000 | PA      | $1287006.87   | 0.03%             | 2030-09-10      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    935000 | PA      | $966386.90    | 0.03%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    885000 | PA      | $926406.26    | 0.02%             | 2036-02-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                | Barrick North America Finance LLC                                               | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1090230.71   | 0.03%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bastion Funding LLC                                   | Bastion Funding I LLC                                                           | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   1696994 | PA      | $1711445.59   | 0.05%             | 2038-04-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BAXALTA INC                                           | Baxalta Inc                                                                     | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2863.15      | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                           | Truist Bank                                                                     | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1910901.16   | 0.05%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust           | Bear Stearns ARM Trust 2003-7                                                   | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2728 | PA      | $2743.48      | 0.00%             | 2033-10-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust           | Bear Stearns ARM Trust 2006-1                                                   | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18655 | PA      | $18037.11     | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| SACO I Trust                                          | SACO I Inc                                                                      | CUSIP: 073919AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       741 | PA      | $692.21       | 0.00%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                 | Becton Dickinson & Co                                                           | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    340000 | PA      | $301197.56    | 0.01%             | 2044-12-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                 | Becton Dickinson & Co                                                           | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65302.26     | 0.00%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B34 Mortgage Trust                                               | CUSIP: 08161YBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $382686.95    | 0.01%             | 2055-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B17 Mortgage Trust                                               | CUSIP: 08162MAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2037000 | PA      | $1840591.44   | 0.05%             | 2053-03-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B19 Mortgage Trust                                               | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2610000 | PA      | $2303424.70   | 0.06%             | 2053-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B20 Mortgage Trust                                               | CUSIP: 08162XBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1915000 | PA      | $1693644.58   | 0.05%             | 2053-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B22 Mortgage Trust                                               | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2110000 | PA      | $1851818.92   | 0.05%             | 2054-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2021-B24 Mortgage Trust                                               | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $514217.10    | 0.01%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2021-B25 Mortgage Trust                                               | CUSIP: 08163DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225000 | PA      | $1099343.54   | 0.03%             | 2054-04-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780000 | PA      | $657949.27    | 0.02%             | 2055-01-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    953000 | PA      | $749873.01    | 0.02%             | 2055-01-15      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386000 | PA      | $338419.25    | 0.01%             | 2055-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386000 | PA      | $308659.50    | 0.01%             | 2055-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B36 Mortgage Trust                                               | CUSIP: 08163QBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691000 | PA      | $676856.47    | 0.02%             | 2055-07-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B35 Mortgage Trust                                               | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1321000 | PA      | $1290071.82   | 0.03%             | 2055-05-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                              | Berkshire Hathaway Energy Co                                                    | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    923000 | PA      | $572555.90    | 0.02%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     62000 | PA      | $55119.15     | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    910000 | PA      | $762996.86    | 0.02%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    210000 | PA      | $161595.60    | 0.00%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAA1<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    290000 | PA      | $220893.04    | 0.01%             | 2051-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209095.55    | 0.01%             | 2029-01-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAD5<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    605000 | PA      | $659523.81    | 0.02%             | 2034-01-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205042.24    | 0.01%             | 2036-01-09      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                            | Biogen Inc                                                                      | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1157790.55   | 0.03%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                            | Blackbird Capital II Aircraft Lease Ltd                                         | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586633 | PA      | $557012.72    | 0.01%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                              | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     21000 | PA      | $18120.92     | 0.00%             | 2045-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE                                | Blackstone Reg Finance Co LLC                                                   | CUSIP: 092914AA8<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |    872000 | PA      | $879599.89    | 0.02%             | 2034-12-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1360000 | PA      | $1362660.73   | 0.04%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    960000 | PA      | $982540.08    | 0.03%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    320000 | PA      | $291862.15    | 0.01%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2720000 | PA      | $2769965.07   | 0.07%             | 2029-01-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    635000 | PA      | $656882.33    | 0.02%             | 2030-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2945000 | PA      | $3031434.93   | 0.08%             | 2030-11-19      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4655000 | PA      | $4886515.21   | 0.13%             | 2033-01-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236347.20    | 0.01%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    224000 | PA      | $219849.72    | 0.01%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    830000 | PA      | $804662.21    | 0.02%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    810000 | PA      | $798192.62    | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $232722.24    | 0.01%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    560000 | PA      | $549111.44    | 0.01%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199619.31    | 0.01%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                   | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1263123.50   | 0.03%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                   | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    675000 | PA      | $732505.65    | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1228058.45   | 0.03%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2139000 | PA      | $2402393.49   | 0.06%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                    | Boston Gas Co                                                                   | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18833.74     | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                                | Boston Scientific Corp                                                          | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     49000 | PA      | $46655.26     | 0.00%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                  | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    370000 | PA      | $227797.02    | 0.01%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                  | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    345000 | PA      | $219514.90    | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                  | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    135000 | PA      | $86352.73     | 0.00%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                  | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    630000 | PA      | $573786.72    | 0.02%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                  | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1310162.81   | 0.04%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                       | BRAVO Residential Funding Trust 2022-NQM3                                       | CUSIP: 10569JAA8<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |   1865337 | PA      | $1865238.43   | 0.05%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                   | Brean Asset Backed Securities Trust 2025-RM12                                   | CUSIP: 10638KAA2<br>LEI: 98450003CE714EY3D313 | Long             | ABS-MBS          | CORP              | US        |   4625024 | PA      | $4534034.66   | 0.12%             | 2065-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust         | Bridgecrest Lending Auto Securitization Trust 2025-3                            | CUSIP: 107920AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4533274.80   | 0.12%             | 2031-05-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust         | Bridgecrest Lending Auto Securitization Trust 2024-1                            | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2341000 | PA      | $2364293.42   | 0.06%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust         | Bridgecrest Lending Auto Securitization Trust 2024-3                            | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2255000 | PA      | $2285879.07   | 0.06%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                          | Bridge 2024-SFR1 Trust                                                          | CUSIP: 10806DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    875000 | PA      | $860134.01    | 0.02%             | 2040-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                          | Bridge 2024-SFR1 Trust                                                          | CUSIP: 10806DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1526000 | PA      | $1485580.23   | 0.04%             | 2040-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    114000 | PA      | $103489.53    | 0.00%             | 2039-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    859000 | PA      | $701852.53    | 0.02%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    707000 | PA      | $611646.38    | 0.02%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DR6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    175000 | PA      | $124474.15    | 0.00%             | 2040-11-13      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    714000 | PA      | $524613.82    | 0.01%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    113000 | PA      | $110974.33    | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 AA PTT                               | British Airways 2018-1 Class AA Pass Through Trust                              | CUSIP: 11042TAA1<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |     40768 | PA      | $39990.84     | 0.00%             | 2031-09-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 A PTT                                | British Airways 2018-1 Class A Pass Through Trust                               | CUSIP: 11043HAA6<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |     55119 | PA      | $53426.78     | 0.00%             | 2031-09-20      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 AA PTT                               | British Airways 2019-1 Class AA Pass Through Trust                              | CUSIP: 11043XAA1<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    107657 | PA      | $101654.06    | 0.00%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                              | Province of British Columbia Canada                                             | CUSIP: 11070TAK4<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   1100000 | PA      | $1092668.72   | 0.03%             | 2026-06-02      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    200000 | PA      | $192030.38    | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    105000 | PA      | $94377.92     | 0.00%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2778000 | PA      | $2392374.49   | 0.06%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    400000 | PA      | $339237.00    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    650000 | PA      | $641555.44    | 0.02%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3281000 | PA      | $3378043.19   | 0.09%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    286000 | PA      | $292006.56    | 0.01%             | 2032-07-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    357000 | PA      | $365770.08    | 0.01%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCP4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    592000 | PA      | $568199.16    | 0.02%             | 2028-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    854000 | PA      | $842681.60    | 0.02%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                | Brookfield Finance Inc                                                          | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |      9000 | PA      | $7787.62      | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                | Brookfield Finance Inc                                                          | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     55000 | PA      | $54806.30     | 0.00%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                | Brookfield Finance Inc                                                          | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     54000 | PA      | $54852.54     | 0.00%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                 | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |     80000 | PA      | $63786.53     | 0.00%             | 2048-03-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                     | Brown & Brown Inc                                                               | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    460000 | PA      | $412441.75    | 0.01%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                     | Brown & Brown Inc                                                               | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1632512.94   | 0.04%             | 2055-06-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    400000 | PA      | $367276.13    | 0.01%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BE9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1081000 | PA      | $1081613.68   | 0.03%             | 2029-09-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1228000 | PA      | $1204887.41   | 0.03%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BN9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    400000 | PA      | $376396.07    | 0.01%             | 2031-04-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    435000 | PA      | $441874.21    | 0.01%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                              | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $22165.98     | 0.00%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                              | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LAX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $31587.53     | 0.00%             | 2045-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2022-LBA6                                                              | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1680000 | PA      | $1674777.55   | 0.04%             | 2039-01-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                            | BXG Receivables Note Trust 2022-A                                               | CUSIP: 12434KAC0<br>LEI: 549300MVRSYZ837KPY83 | Long             | ABS-O            | CORP              | US        |    307885 | PA      | $304447.10    | 0.01%             | 2037-09-28      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2016-CD1 Mortgage Trust                                                      | CUSIP: 12514MBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1923091.37   | 0.05%             | 2049-08-10      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835614 | PA      | $830835.84    | 0.02%             | 2049-11-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2019-CD8 Mortgage Trust                                                      | CUSIP: 12515BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1301013.11   | 0.03%             | 2057-08-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                     | CF Industries Inc                                                               | CUSIP: 12527GAL7<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    740000 | PA      | $737435.93    | 0.02%             | 2035-11-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                 | Cantor Commercial Real Estate Lending 2019-CF2                                  | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516000 | PA      | $488494.47    | 0.01%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                 | Cantor Commercial Real Estate Lending 2019-CF1                                  | CUSIP: 12529MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1411000 | PA      | $1386520.42   | 0.04%             | 2052-05-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                 | Cantor Commercial Real Estate Lending 2019-CF3                                  | CUSIP: 12529TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1074611.42   | 0.03%             | 2053-01-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 ISSUER LLC                             | CFIN 2022-RTL1 Issuer LLC                                                       | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111403 | PA      | $111068.91    | 0.00%             | 2026-02-16      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                       | CFCRE Commercial Mortgage Trust 2016-C7                                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $610800.78    | 0.02%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| CGI INC                                               | CGI Inc                                                                         | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    370000 | PA      | $327907.00    | 0.01%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                       | Cigna Group/The                                                                 | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    700000 | PA      | $624075.38    | 0.02%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                       | Cigna Group/The                                                                 | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3461220.57   | 0.09%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                             | CIM Trust 2021-R6                                                               | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572900 | PA      | $531378.72    | 0.01%             | 2061-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                       | CMS Energy Corp                                                                 | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     47000 | PA      | $46365.75     | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                        | CPS Auto Receivables Trust 2023-D                                               | CUSIP: 12598VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3686000 | PA      | $3724120.24   | 0.10%             | 2030-01-15      | Fixed         | 7.17%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                        | Consumer Portfolio Services Auto Trust 2025-B                                   | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4290000 | PA      | $4327436.26   | 0.12%             | 2031-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    660305 | PA      | $599507.68    | 0.02%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                              | CSX Corp                                                                        | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51024.47     | 0.00%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                              | CSX Corp                                                                        | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    108000 | PA      | $96014.63     | 0.00%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                              | CSX Corp                                                                        | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7029.85      | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2393141 | PA      | $2222118.10   | 0.06%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $813861.66    | 0.02%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   5620000 | PA      | $4915335.18   | 0.13%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $83287.72     | 0.00%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2018-J1 Trust                                                              | CUSIP: 12653TAB7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2348386 | PA      | $2128883.43   | 0.06%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC Series 2019-NQM1                                                           | CUSIP: 12655VAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    329484 | PA      | $328129.24    | 0.01%             | 2059-10-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-RPL2Trust                                                             | CUSIP: 12656TAA6<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    411869 | PA      | $365727.06    | 0.01%             | 2060-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-RPL6 Trust                                                            | CUSIP: 12657GAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    804540 | PA      | $734518.71    | 0.02%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    559595 | PA      | $474534.69    | 0.01%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    760888 | PA      | $650845.37    | 0.02%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2330582 | PA      | $2157348.75   | 0.06%             | 2066-10-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-NQM3                                                                  | CUSIP: 12660LAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1344523 | PA      | $1201821.20   | 0.03%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-NQM7                                                                  | CUSIP: 12662QAA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    424787 | PA      | $381444.62    | 0.01%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                        | CPS Auto Receivables Trust 2022-D                                               | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    542097 | PA      | $546200.35    | 0.01%             | 2029-01-16      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                | CVS Pass-Through Trust                                                          | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     43540 | PA      | $46212.55     | 0.00%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                | CVS Pass-Through Trust                                                          | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     52166 | PA      | $53474.77     | 0.00%             | 2034-01-10      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    840000 | PA      | $758357.54    | 0.02%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1271000 | PA      | $1275209.35   | 0.03%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    230000 | PA      | $228732.25    | 0.01%             | 2027-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    740000 | PA      | $722578.46    | 0.02%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    180000 | PA      | $157931.23    | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    590000 | PA      | $518294.45    | 0.01%             | 2031-09-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    330000 | PA      | $339761.69    | 0.01%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS PASS THRU TR 2009                                 | CVS Pass-Through Trust Series 2009                                              | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     43336 | PA      | $47187.33     | 0.00%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TR 2013                              | CVS Pass-Through Trust Series 2013                                              | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    117114 | PA      | $108704.66    | 0.00%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Y91<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      1056 | PA      | $1019.55      | 0.00%             | 2034-04-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Z25<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      3707 | PA      | $3828.47      | 0.00%             | 2034-03-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2004-2CB                                                 | CUSIP: 12667FAQ8<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    265259 | PA      | $269551.33    | 0.01%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-22T1                                                | CUSIP: 12667GGP2<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    242523 | PA      | $18396.79     | 0.00%             | 2035-06-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-20CB                                                | CUSIP: 12667GQN6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    104856 | PA      | $5176.09      | 0.00%             | 2035-07-25      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-28CB                                                | CUSIP: 12667GWT6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    134565 | PA      | $118374.67    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-54CB                                                | CUSIP: 12668APD1<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     48954 | PA      | $37019.05     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                    | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                            | CUSIP: 12668FAB0<br>LEI: 254900WKCCG7QRE77W83 | Long             | ABS-O            | CORP              | US        |    327016 | PA      | $316047.90    | 0.01%             | 2037-01-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2005-22                                         | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45632 | PA      | $38246.06     | 0.00%             | 2035-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2004-HYB1                                       | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4536 | PA      | $4166.33      | 0.00%             | 2034-05-20      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2004-7                                          | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8336 | PA      | $7524.72      | 0.00%             | 2034-06-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2004-HYB3                                       | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5833 | PA      | $5504.76      | 0.00%             | 2034-06-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2005-16                                         | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21802 | PA      | $13105.49     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                                | CSTL Commercial Mortgage Trust 2025-GATE2                                       | CUSIP: 12676JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1464707.56   | 0.04%             | 2042-11-10      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                    | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1182467.67   | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                          | CaixaBank SA                                                                    | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1064000 | PA      | $1186652.97   | 0.03%             | 2034-09-13      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                          | CaixaBank SA                                                                    | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    427000 | PA      | $443236.40    | 0.01%             | 2030-03-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                          | CaixaBank SA                                                                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   2135000 | PA      | $2275463.93   | 0.06%             | 2035-06-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                          | CaixaBank SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   6516000 | PA      | $6694863.09   | 0.18%             | 2036-07-03      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                       | Cameron LNG LLC                                                                 | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    188000 | PA      | $160206.01    | 0.00%             | 2039-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                              | Canadian Pacific Railway Co                                                     | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    197000 | PA      | $173392.59    | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     74000 | PA      | $72606.46     | 0.00%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                      | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    235000 | PA      | $210598.93    | 0.01%             | 2032-11-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                      | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    990000 | PA      | $1029304.29   | 0.03%             | 2030-02-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                      | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1805844.99   | 0.05%             | 2036-09-11      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                   | Cardinal Health Inc                                                             | CUSIP: 14149YBV9<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2942060.34   | 0.08%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                               | CarMax Auto Owner Trust 2023-4                                                  | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    353974 | PA      | $358538.94    | 0.01%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trust                       | CarMax Select Receivables Trust 2025-A                                          | CUSIP: 14319UAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $8261619.30   | 0.22%             | 2031-07-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                   | Carrier Global Corp                                                             | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     24000 | PA      | $17668.59     | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Capital Automotive LP                                 | Cars Net Lease Mortgage Notes Series 2020-1                                     | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156000 | PA      | $150532.78    | 0.00%             | 2050-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                        | Carvana Auto Receivables Trust 2023-P4                                          | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    631000 | PA      | $652786.47    | 0.02%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                        | Carvana Auto Receivables Trust 2023-N1                                          | CUSIP: 14688FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243105 | PA      | $243196.83    | 0.01%             | 2027-11-10      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                        | Carvana Auto Receivables Trust 2023-P3                                          | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135556 | PA      | $136462.96    | 0.00%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                | Cascade MH Asset Trust 2021-MH1                                                 | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563823 | PA      | $514561.34    | 0.01%             | 2046-02-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                | CenterPoint Energy Inc                                                          | CUSIP: 15189TBA4<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    230000 | PA      | $227523.68    | 0.01%             | 2026-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                              | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7955.08      | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                              | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAU2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    200000 | PA      | $128822.64    | 0.00%             | 2050-07-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1308000 | PA      | $1205976.42   | 0.03%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1160000 | PA      | $907758.29    | 0.02%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    980000 | PA      | $736175.64    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    651000 | PA      | $387937.55    | 0.01%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $329526.87    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    480000 | PA      | $378217.10    | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $503775.01    | 0.01%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    715000 | PA      | $731000.38    | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                   | Cheniere Energy Inc                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    710000 | PA      | $736539.79    | 0.02%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                           | Cherry Securitization Trust 2025-1                                              | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1319800.04   | 0.04%             | 2032-11-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                       | Chevron USA Inc                                                                 | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500763.23    | 0.01%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                          | Chevron Corp                                                                    | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $195606.71    | 0.01%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                          | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460000 | PA      | $311903.64    | 0.01%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOSPITAL/DC                                | Children's Hospital/DC                                                          | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |    180000 | PA      | $115588.81    | 0.00%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                 | Chile Electricity Lux MPC Sarl                                                  | CUSIP: 168829AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    267605 | PA      | $280827.63    | 0.01%             | 2033-01-20      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                 | Chile Electricity Lux Mpc II Sarl                                               | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    591391 | PA      | $606065.98    | 0.02%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2016-P6                                     | CUSIP: 17291EAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266043 | PA      | $264622.47    | 0.01%             | 2049-12-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     50000 | PA      | $64103.94     | 0.00%             | 2039-07-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    605000 | PA      | $601152.27    | 0.02%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74328.07     | 0.00%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     74000 | PA      | $73949.12     | 0.00%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1358391.90   | 0.04%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3210000 | PA      | $2974167.37   | 0.08%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    625000 | PA      | $567204.26    | 0.02%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $55438.89     | 0.00%             | 2042-11-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1191848.29   | 0.03%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302522.07    | 0.01%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1990000 | PA      | $2013848.50   | 0.05%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    395000 | PA      | $396222.44    | 0.01%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1069908.16   | 0.03%             | 2036-09-11      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     26064 | PA      | $22129.69     | 0.00%             | 2035-02-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                           | Citibank NA                                                                     | CUSIP: 17325FBC1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $1085144.30   | 0.03%             | 2026-12-04      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                           | Citibank NA                                                                     | CUSIP: 17325FBF4<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    423000 | PA      | $424612.01    | 0.01%             | 2026-04-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2017-C4                                     | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1642000 | PA      | $1619877.99   | 0.04%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    221000 | PA      | $202450.23    | 0.01%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1664000 | PA      | $1677232.36   | 0.04%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 17327CAY9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    503000 | PA      | $500858.62    | 0.01%             | 2056-03-04      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1636719.70   | 0.04%             | 2036-03-27      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1032000 | PA      | $981600.84    | 0.03%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2020-555                                    | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581000 | PA      | $529380.30    | 0.01%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                              | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $319644.31    | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                              | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $64649.03     | 0.00%             | 2030-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                    | CNO Global Funding                                                              | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2401941.93   | 0.06%             | 2027-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COCA-COLA FEMSA SAB CV                                | Coca-Cola Femsa SAB de CV                                                       | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    215000 | PA      | $181589.06    | 0.00%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                              | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    421000 | PA      | $428104.85    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                               | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    810000 | PA      | $867070.59    | 0.02%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                               | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1309721.68   | 0.04%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                               | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $561389.02    | 0.02%             | 2035-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                               | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    555000 | PA      | $546717.99    | 0.01%             | 2055-02-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    167000 | PA      | $163297.26    | 0.00%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    840000 | PA      | $839712.92    | 0.02%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    152000 | PA      | $112082.37    | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    110000 | PA      | $82741.84     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    400000 | PA      | $267424.64    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    570000 | PA      | $552808.45    | 0.01%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    930000 | PA      | $538759.30    | 0.01%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1196000 | PA      | $699412.92    | 0.02%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    481000 | PA      | $270261.83    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    206000 | PA      | $111424.87    | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   4338000 | PA      | $4277132.05   | 0.11%             | 2037-01-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                   | CommonSpirit Health                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    145000 | PA      | $134938.79    | 0.00%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                   | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    140000 | PA      | $104561.27    | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                | Commonwealth Edison Co                                                          | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     30000 | PA      | $22919.05     | 0.00%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753GAA9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1312273 | PA      | $1313573.46   | 0.04%             | 2044-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAB0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    760000 | PA      | $781290.72    | 0.02%             | 2042-03-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAB7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    396000 | PA      | $403094.26    | 0.01%             | 2042-01-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754EAB1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1592660.34   | 0.04%             | 2043-07-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAB2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    481176 | PA      | $482935.58    | 0.01%             | 2041-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754TAD4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    432000 | PA      | $433245.15    | 0.01%             | 2045-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754VAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    518232 | PA      | $520005.50    | 0.01%             | 2045-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755CAA6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    455206 | PA      | $455974.50    | 0.01%             | 2043-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755JAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    506000 | PA      | $506678.70    | 0.01%             | 2045-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755TAC5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1073000 | PA      | $1074534.39   | 0.03%             | 2045-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                | ConocoPhillips Co                                                               | CUSIP: 20826FBF2<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   1434000 | PA      | $1475237.02   | 0.04%             | 2033-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                | ConocoPhillips Co                                                               | CUSIP: 20826FBL9<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    651000 | PA      | $660016.30    | 0.02%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                | ConocoPhillips Co                                                               | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    495000 | PA      | $473492.93    | 0.01%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                               | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FA6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     38000 | PA      | $39582.29     | 0.00%             | 2040-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                               | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     54000 | PA      | $44182.01     | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                               | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    250000 | PA      | $242099.40    | 0.01%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                               | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    200000 | PA      | $155719.38    | 0.00%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     65000 | PA      | $54342.93     | 0.00%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23119.56     | 0.00%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    420000 | PA      | $395142.04    | 0.01%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88731.21     | 0.00%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    490000 | PA      | $491812.04    | 0.01%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20083.76     | 0.00%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     66000 | PA      | $70433.53     | 0.00%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    330000 | PA      | $359525.95    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    698000 | PA      | $692596.44    | 0.02%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                 | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1517024.72   | 0.04%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                 | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20507.70     | 0.00%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                              | Corebridge Financial Inc                                                        | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183829.11    | 0.00%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                              | Corebridge Financial Inc                                                        | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127885.24    | 0.00%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                           | CoreVest American Finance 2019-2Trust                                           | CUSIP: 21872GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $483691.45    | 0.01%             | 2052-06-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                           | Corevest American Finance 2019-3 Trust                                          | CUSIP: 21872NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $677557.37    | 0.02%             | 2052-10-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                         | CoreVest American Finance 2020-3 Trust                                          | CUSIP: 21873CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $752177.91    | 0.02%             | 2053-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CORNING INC                                           | Corning Inc                                                                     | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    284000 | PA      | $218593.20    | 0.01%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                           | Corp Nacional del Cobre de Chile                                                | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    863000 | PA      | $935815.80    | 0.03%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                                  | COPT Defense Properties LP                                                      | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |    470000 | PA      | $467919.96    | 0.01%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                                  | COPT Defense Properties LP                                                      | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |    326000 | PA      | $297356.81    | 0.01%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                 | Costco Wholesale Corp                                                           | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    930000 | PA      | $901250.71    | 0.02%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                 | Costco Wholesale Corp                                                           | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    380000 | PA      | $329626.11    | 0.01%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                | Cox Communications Inc                                                          | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     67000 | PA      | $66646.08     | 0.00%             | 2026-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                | Cox Communications Inc                                                          | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    180000 | PA      | $100155.06    | 0.00%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2023-3                                        | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    408838 | PA      | $410875.62    | 0.01%             | 2033-08-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2025-2                                        | CUSIP: 224940AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4235000 | PA      | $4272117.66   | 0.11%             | 2036-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2022-3                                        | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    419171 | PA      | $420729.29    | 0.01%             | 2033-02-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   5900000 | PA      | $6223411.45   | 0.17%             | 2036-01-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    824000 | PA      | $841391.30    | 0.02%             | 2029-01-09      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    919000 | PA      | $943461.31    | 0.03%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    585000 | PA      | $584234.91    | 0.02%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2025-1                                        | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4535000 | PA      | $4601256.35   | 0.12%             | 2035-07-16      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2023-2                                        | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252833 | PA      | $253257.93    | 0.01%             | 2033-05-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2024-1                                        | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3910000 | PA      | $4002929.36   | 0.11%             | 2034-07-17      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $248589.20    | 0.01%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1280000 | PA      | $1267800.10   | 0.03%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    840000 | PA      | $779328.66    | 0.02%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    539000 | PA      | $587967.33    | 0.02%             | 2034-09-22      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    475000 | PA      | $472689.68    | 0.01%             | 2031-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2010000 | PA      | $1992270.98   | 0.05%             | 2037-03-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     24000 | PA      | $23945.22     | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    665000 | PA      | $697157.80    | 0.02%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II                                  | DH Europe Finance II Sarl                                                       | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    184000 | PA      | $150711.31    | 0.00%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $873059.27    | 0.02%             | 2053-08-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063BC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282000 | PA      | $242235.46    | 0.01%             | 2053-08-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097000 | PA      | $1093802.46   | 0.03%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                      | DP World Ltd/United Arab Emirates                                               | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |   3080000 | PA      | $3018757.50   | 0.08%             | 2048-09-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                         | DTE Energy Co                                                                   | CUSIP: 233331BJ5<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    350000 | PA      | $356062.05    | 0.01%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                         | DTE Energy Co                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    614000 | PA      | $629193.57    | 0.02%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                       | DTE Electric Co                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    226000 | PA      | $166381.56    | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                       | DTE Electric Co                                                                 | CUSIP: 23338VAT3<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    185000 | PA      | $179528.59    | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                   | DT Auto Owner Trust 2022-3                                                      | CUSIP: 23345RAE6<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |     43460 | PA      | $43521.73     | 0.00%             | 2028-07-17      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                   | DT Auto Owner Trust 2022-3                                                      | CUSIP: 23345RAG1<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $763411.13    | 0.02%             | 2028-07-17      | Fixed         | 8.14%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                   | DT Auto Owner Trust 2023-2                                                      | CUSIP: 23346CAE8<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |    660085 | PA      | $662735.50    | 0.02%             | 2029-02-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| DTE ELECT SECUR FND II                                | DTE Electric Securitization Funding II LLC                                      | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | PA      | $1026348.67   | 0.03%             | 2037-09-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                    | DP Lion Holdco LLC                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |   1508609 | PA      | $1550507.58   | 0.04%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                       | Danske Bank A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    970000 | PA      | $1007830.99   | 0.03%             | 2030-03-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                       | Danske Bank A/S                                                                 | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1054000 | PA      | $1062772.49   | 0.03%             | 2030-10-02      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                       | Danske Bank A/S                                                                 | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1425000 | PA      | $1455281.34   | 0.04%             | 2031-03-04      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                       | Danske Bank A/S                                                                 | CUSIP: 23636ABL4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1355000 | PA      | $1347687.16   | 0.04%             | 2031-09-12      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                                   | DataBank Issuer                                                                 | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1387000 | PA      | $1380729.93   | 0.04%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                  | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1540866 | PA      | $1431748.43   | 0.04%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                               | CUSIP: 24703DBJ9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    287000 | PA      | $293466.43    | 0.01%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAD8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     26000 | PA      | $26113.64     | 0.00%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAE6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    292000 | PA      | $293354.86    | 0.01%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAN6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |   3180000 | PA      | $3270692.74   | 0.09%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DELMARVA PWR & LIGHT CO                               | Delmarva Power & Light Co                                                       | CUSIP: 247109BT7<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42122.72     | 0.00%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2015-1AA                              | Delta Air Lines 2015-1 Class AA Pass Through Trust                              | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225519 | PA      | $222908.57    | 0.01%             | 2027-07-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    786000 | PA      | $822894.47    | 0.02%             | 2029-01-18      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2159000 | PA      | $2302124.58   | 0.06%             | 2029-11-20      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    985000 | PA      | $1024023.87   | 0.03%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    520000 | PA      | $527984.27    | 0.01%             | 2030-09-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    535000 | PA      | $545712.77    | 0.01%             | 2035-09-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4127000 | PA      | $4228385.20   | 0.11%             | 2031-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1100000 | PA      | $1111120.60   | 0.03%             | 2031-08-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    720000 | PA      | $717548.36    | 0.02%             | 2031-12-10      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    350000 | PA      | $344208.07    | 0.01%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    478000 | PA      | $485294.64    | 0.01%             | 2027-07-13      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4145000 | PA      | $4229851.59   | 0.11%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    940000 | PA      | $909321.57    | 0.02%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    150000 | PA      | $129695.88    | 0.00%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    640000 | PA      | $641826.34    | 0.02%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                    | Diamond Infrastructure Funding LLC                                              | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2280000 | PA      | $2215876.14   | 0.06%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1358110.17   | 0.04%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                          | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1074574.02   | 0.03%             | 2031-03-24      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                               | Walt Disney Co/The                                                              | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    350000 | PA      | $399657.19    | 0.01%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Diversified ABS VIII LLC                              | Diversified ABS Phase VIII LLC                                                  | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1183928 | PA      | $1197617.43   | 0.03%             | 2044-05-30      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                          | DNB Bank ASA                                                                    | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    325000 | PA      | $315590.44    | 0.01%             | 2028-03-30      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                       | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3709115 | PA      | $3525602.83   | 0.09%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                 | DuPont de Nemours Inc                                                           | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    626000 | PA      | $627310.19    | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                 | DuPont de Nemours Inc                                                           | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    139000 | PA      | $132184.61    | 0.00%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                          | Drive Auto Receivables Trust 2025-1                                             | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $5464827.54   | 0.15%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| EIDP INC                                              | EIDP Inc                                                                        | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2175154.81   | 0.06%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99147.38     | 0.00%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    240000 | PA      | $237007.44    | 0.01%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    880000 | PA      | $911530.21    | 0.02%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1483182.30   | 0.04%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1272868.14   | 0.03%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                 | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   2444000 | PA      | $2517259.63   | 0.07%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                  | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAE0<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     46000 | PA      | $35018.41     | 0.00%             | 2046-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                              | Duke Energy Progress LLC                                                        | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     54000 | PA      | $41155.96     | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                               | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157777.28    | 0.00%             | 2027-08-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                               | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    210000 | PA      | $190773.02    | 0.01%             | 2030-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                              | Electricite de France SA                                                        | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    960000 | PA      | $1020345.93   | 0.03%             | 2034-04-22      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                     | EOG Resources Inc                                                               | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1061000 | PA      | $1086766.41   | 0.03%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                     | EOG Resources Inc                                                               | CUSIP: 26875PBA8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    309000 | PA      | $314678.99    | 0.01%             | 2055-07-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                  | ERAC USA Finance LLC                                                            | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    160000 | PA      | $185303.17    | 0.00%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44795.02     | 0.00%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                        | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    680000 | PA      | $738583.91    | 0.02%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                  | ERAC USA Finance LLC                                                            | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     12000 | PA      | $12154.21     | 0.00%             | 2042-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                              | Eagle Funding Luxco Sarl                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   5604000 | PA      | $5708178.36   | 0.15%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                    | Eastern Energy Gas Holdings LLC                                                 | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    655000 | PA      | $676899.24    | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRAN                                      | Eastern Gas Transmission & Storage Inc                                          | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    137000 | PA      | $99666.24     | 0.00%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                            | Eaton Corp                                                                      | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    780000 | PA      | $675241.26    | 0.02%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                              | Element Fleet Management Corp                                                   | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    235000 | PA      | $237081.60    | 0.01%             | 2026-06-26      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                              | Element Fleet Management Corp                                                   | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    990000 | PA      | $1044106.95   | 0.03%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                              | Element Fleet Management Corp                                                   | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1825000 | PA      | $1865177.16   | 0.05%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                   | Emerson Electric Co                                                             | CUSIP: 291011BS2<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $712329.96    | 0.02%             | 2051-12-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                   | Emera US Finance LP                                                             | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $110956.83    | 0.00%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    260000 | PA      | $273854.95    | 0.01%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NCA1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    590000 | PA      | $598144.67    | 0.02%             | 2027-04-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1850000 | PA      | $1931259.51   | 0.05%             | 2034-04-05      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    340000 | PA      | $347583.65    | 0.01%             | 2030-06-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NCK9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    533000 | PA      | $551441.60    | 0.01%             | 2035-06-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    565000 | PA      | $593461.55    | 0.02%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    472000 | PA      | $447291.24    | 0.01%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VBB5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    585000 | PA      | $562604.07    | 0.02%             | 2054-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2070253.54   | 0.06%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                  | Enel Finance International NV                                                   | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1740000 | PA      | $1728314.40   | 0.05%             | 2035-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    335000 | PA      | $324875.17    | 0.01%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $3844011.98   | 0.10%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    340000 | PA      | $336502.65    | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                          | Entergy Corp                                                                    | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20843.63     | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     38000 | PA      | $35625.60     | 0.00%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     59000 | PA      | $58414.30     | 0.00%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38555.74     | 0.00%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    130000 | PA      | $81395.97     | 0.00%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   2355000 | PA      | $2366678.02   | 0.06%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                     | Entergy Texas Inc                                                               | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    309000 | PA      | $220298.61    | 0.01%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                     | Entergy Texas Inc                                                               | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99784.76     | 0.00%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                  | Entergy Arkansas LLC                                                            | CUSIP: 29366MAA6<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    906000 | PA      | $731358.29    | 0.02%             | 2049-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                               | Entergy Mississippi LLC                                                         | CUSIP: 29366WAA4<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    135000 | PA      | $102935.97    | 0.00%             | 2049-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                               | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    206000 | PA      | $247803.80    | 0.01%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                               | CUSIP: 29379VCA9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    981000 | PA      | $650719.75    | 0.02%             | 2052-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                               | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1462000 | PA      | $976234.90    | 0.03%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    384000 | PA      | $372137.14    | 0.01%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2016-P3                                     | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264000 | PA      | $1259309.55   | 0.03%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                    | Essex Portfolio LP                                                              | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    145000 | PA      | $129270.78    | 0.00%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                    | Essex Portfolio LP                                                              | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    200000 | PA      | $174540.15    | 0.00%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                    | Essex Portfolio LP                                                              | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    420000 | PA      | $435021.38    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                            | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85760.68     | 0.00%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                          | Evergy Metro Inc                                                                | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83222.79     | 0.00%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI W STORM                               | Evergy Missouri West Storm Funding I LLC                                        | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1401881 | PA      | $1437646.89   | 0.04%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                     | Eversource Energy                                                               | CUSIP: 30040WAP3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    310000 | PA      | $286663.98    | 0.01%             | 2032-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    100000 | PA      | $108345.81    | 0.00%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1144000 | PA      | $1166095.73   | 0.03%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2507513.83   | 0.07%             | 2042-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                           | Exelon Corp                                                                     | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $311501.96    | 0.01%             | 2033-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                           | Exelon Corp                                                                     | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1185279.26   | 0.03%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2024-2                                      | CUSIP: 30166DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4241000 | PA      | $4326158.01   | 0.12%             | 2030-02-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2025-5                                      | CUSIP: 30166VAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2699000 | PA      | $2717196.93   | 0.07%             | 2032-03-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2025-4                                      | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6423215.36   | 0.17%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2022-6                                      | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1032000 | PA      | $1064027.40   | 0.03%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2023-5                                      | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1824000 | PA      | $1847341.00   | 0.05%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2025-2                                      | CUSIP: 30168JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $8293406.13   | 0.22%             | 2031-07-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                              | F&G Annuities & Life Inc                                                        | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $651112.73    | 0.02%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                                | Export-Import Bank of India                                                     | CUSIP: 30216JAA3<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    990000 | PA      | $984770.78    | 0.03%             | 2026-08-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                          | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    150000 | PA      | $148522.73    | 0.00%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                          | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    300000 | PA      | $271412.01    | 0.01%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                          | CUSIP: 30225VAS6<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   1004000 | PA      | $1030334.85   | 0.03%             | 2034-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                               | Exxon Mobil Corp                                                                | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    405000 | PA      | $324098.44    | 0.01%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                               | Exxon Mobil Corp                                                                | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     90000 | PA      | $75435.35     | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                               | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    570000 | PA      | $408754.26    | 0.01%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                 | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1491888.60   | 0.04%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                 | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4054700.16   | 0.11%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                 | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3050000 | PA      | $2954323.03   | 0.08%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                 | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5675000 | PA      | $5709439.87   | 0.15%             | 2027-03-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                            | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   3043334 | PA      | $3103052.99   | 0.08%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                            | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AB7<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |    966746 | PA      | $987389.89    | 0.03%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2016-K59 Mortgage Trust                                                   | CUSIP: 30295RAS0<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $178348.81    | 0.00%             | 2049-11-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    593000 | PA      | $575245.86    | 0.02%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1731000 | PA      | $1610375.85   | 0.04%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2806244.74   | 0.08%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2896114.03   | 0.08%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1885949.94   | 0.05%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2019-KBF3 Mortgage Trust                                                  | CUSIP: 30311TAC1<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    544550 | PA      | $531493.86    | 0.01%             | 2029-01-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2019-K102 Mortgage Trust                                                  | CUSIP: 30312WAE9<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $715131.98    | 0.02%             | 2051-12-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                    | F&G Global Funding                                                              | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    185000 | PA      | $182713.98    | 0.00%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                              | FHF Issuer Trust 2023-2                                                         | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    802566 | PA      | $808478.56    | 0.02%             | 2029-10-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11766 | PA      | $1756.96      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13593 | PA      | $1838.18      | 0.00%             | 2036-08-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $42.85        | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13809 | PA      | $14071.45     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1788023 | PA      | $1785527.14   | 0.05%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516786 | PA      | $532644.24    | 0.01%             | 2047-11-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    968250 | PA      | $984727.25    | 0.03%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128HDR92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       189 | PA      | $189.45       | 0.00%             | 2030-04-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68096 | PA      | $64914.38     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4462 | PA      | $4559.42      | 0.00%             | 2034-04-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10917 | PA      | $11168.05     | 0.00%             | 2035-03-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JNN35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4818 | PA      | $4960.44      | 0.00%             | 2037-01-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3128K7DW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16823 | PA      | $17682.98     | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83568 | PA      | $84386.03     | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7438 | PA      | $7211.21      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1648 | PA      | $1711.74      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1216 | PA      | $1256.42      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8689 | PA      | $8829.71      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       136 | PA      | $141.57       | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31307WYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41749 | PA      | $40496.28     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31307XB76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22066 | PA      | $21302.61     | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497447 | PA      | $53105.09     | 0.00%             | 2044-08-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198740 | PA      | $21279.15     | 0.00%             | 2046-12-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329KVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47827 | PA      | $45655.07     | 0.00%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316744 | PA      | $305946.08    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329NP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4414875 | PA      | $4166883.66   | 0.11%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160440 | PA      | $159120.14    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5EF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11818 | PA      | $11436.29     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9693 | PA      | $9379.11      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4132125 | PA      | $3732496.55   | 0.10%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5HR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    523143 | PA      | $504118.76    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57882 | PA      | $56588.54     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61022 | PA      | $59596.80     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382288 | PA      | $370080.62    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198519 | PA      | $201133.51    | 0.01%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132ADXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328224 | PA      | $323967.09    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132ADXZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8373 | PA      | $8499.08      | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    912154 | PA      | $797144.92    | 0.02%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    914822 | PA      | $792084.21    | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261412 | PA      | $228622.97    | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532605 | PA      | $463921.90    | 0.01%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    578427 | PA      | $503474.81    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1015478 | PA      | $872587.02    | 0.02%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2188043 | PA      | $1894346.48   | 0.05%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152015 | PA      | $131894.25    | 0.00%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152799 | PA      | $133284.95    | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9L28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158258 | PA      | $137357.02    | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9LV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    842342 | PA      | $787002.76    | 0.02%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1583965 | PA      | $1361034.69   | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1051265 | PA      | $911515.08    | 0.02%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9QC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1854336 | PA      | $1663169.56   | 0.04%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9RQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1586768 | PA      | $1380167.39   | 0.04%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257606 | PA      | $229875.10    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    857229 | PA      | $737756.14    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DM5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2036517 | PA      | $1750295.77   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    719455 | PA      | $685534.05    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4371715 | PA      | $3939099.04   | 0.11%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171145 | PA      | $141519.58    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468546 | PA      | $461941.76    | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134941 | PA      | $121389.87    | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234083 | PA      | $201763.38    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75091 | PA      | $64905.88     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    824180 | PA      | $810462.39    | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153539 | PA      | $137482.87    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329867 | PA      | $307147.78    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285447 | PA      | $258879.52    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4133881 | PA      | $3991656.33   | 0.11%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1682857 | PA      | $1685987.80   | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNS46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    563143 | PA      | $461391.85    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150432 | PA      | $134499.77    | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1256431 | PA      | $1170537.35   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DP2V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151042 | PA      | $146034.76    | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700668 | PA      | $705410.05    | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    586071 | PA      | $576664.98    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPCK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214579 | PA      | $219678.65    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1587323 | PA      | $1474947.64   | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPK49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1839423 | PA      | $1762778.31   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPNF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464376 | PA      | $455042.62    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPNP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    560963 | PA      | $586722.00    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383903 | PA      | $392579.13    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291827 | PA      | $285931.27    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709594 | PA      | $731126.39    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383309 | PA      | $384022.14    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    444680 | PA      | $439028.28    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1775478 | PA      | $1753102.38   | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    462269 | PA      | $466810.49    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485731 | PA      | $476431.69    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    470246 | PA      | $492627.36    | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205269 | PA      | $210313.57    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPXE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1918550 | PA      | $1968250.15   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301701 | PA      | $307110.31    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253815 | PA      | $245181.30    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQAQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143960 | PA      | $142151.69    | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503622 | PA      | $514200.22    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156336 | PA      | $159884.92    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233769 | PA      | $238774.98    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210720 | PA      | $211633.53    | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500311 | PA      | $511730.78    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312075 | PA      | $302214.53    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266895 | PA      | $278941.52    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQJE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141172 | PA      | $141876.71    | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728646 | PA      | $746195.79    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQX50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414372 | PA      | $407326.09    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQXK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426049 | PA      | $428423.49    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DSP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1752588 | PA      | $1789324.31   | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DUWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5324247 | PA      | $4743681.31   | 0.13%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DUYP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6895801 | PA      | $6800942.82   | 0.18%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1317551 | PA      | $1126095.54   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVKS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    492928 | PA      | $490358.98    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    488395 | PA      | $472655.91    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299060 | PA      | $270005.75    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1284384 | PA      | $1109616.34   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7216812 | PA      | $6228701.12   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132267 | PA      | $119410.19    | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    950960 | PA      | $824356.82    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312327 | PA      | $269534.79    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5768554 | PA      | $4969232.40   | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1353430 | PA      | $1211811.02   | 0.03%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1375637 | PA      | $1327012.64   | 0.04%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218898 | PA      | $186996.08    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493399 | PA      | $402504.85    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1302105 | PA      | $1055849.66   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWDN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424414 | PA      | $327451.77    | 0.01%             | 2052-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1317762 | PA      | $1221258.88   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1677948 | PA      | $1644573.45   | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    888960 | PA      | $848382.32    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6656032 | PA      | $6522959.17   | 0.17%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3963883 | PA      | $4020189.58   | 0.11%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0CW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2879688 | PA      | $2676310.89   | 0.07%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2108456 | PA      | $2161415.11   | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117429 | PA      | $115440.68    | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127896 | PA      | $121611.60    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56603 | PA      | $55177.56     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96969 | PA      | $94286.27     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42243 | PA      | $38699.84     | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8N86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233392 | PA      | $232083.46    | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132M8NU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11402 | PA      | $10966.85     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316372 | PA      | $288129.73    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    763069 | PA      | $697454.50    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211337 | PA      | $193163.44    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198870 | PA      | $181003.27    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNHQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21538 | PA      | $21437.26     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132XGNV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1155537.97   | 0.03%             | 2032-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132XGQC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $195649.47    | 0.01%             | 2032-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132XGT55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $403777.01    | 0.01%             | 2030-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132XGT63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $202629.11    | 0.01%             | 2030-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335B4Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30218 | PA      | $27595.61     | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1329187 | PA      | $1256457.61   | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335BE93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    446083 | PA      | $443948.84    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335BXV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343982 | PA      | $313048.78    | 0.01%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335BZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    548497 | PA      | $574137.51    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8794 | PA      | $9031.38      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2363 | PA      | $2454.41      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1212 | PA      | $1263.29      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3194 | PA      | $3376.47      | 0.00%             | 2032-02-15      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18722 | PA      | $19516.08     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339LQS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       736 | PA      | $710.66       | 0.00%             | 2031-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2175 | PA      | $186.44       | 0.00%             | 2032-02-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2751 | PA      | $3047.46      | 0.00%             | 2032-02-15      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31339U3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10004020 | PA      | $8543744.98   | 0.23%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                           | Freddie Mac REMICS                                                              | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5482 | PA      | $5762.07      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8155 | PA      | $8579.46      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A0K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198981 | PA      | $180080.97    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A0MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37326 | PA      | $33757.16     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A7L56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    646631 | PA      | $619194.97    | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A7M97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439345 | PA      | $410051.36    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A7RS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1216414 | PA      | $1030752.01   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ABRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358167 | PA      | $293984.33    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296405 | PA      | $256750.46    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192488 | PA      | $166420.18    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AEPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31693 | PA      | $27316.23     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138614 | PA      | $114344.29    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168285 | PA      | $137808.88    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225437 | PA      | $186051.20    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109817 | PA      | $90821.51     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    889285 | PA      | $734793.29    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68889 | PA      | $56942.68     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179583 | PA      | $147755.20    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61482 | PA      | $50696.51     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130869 | PA      | $108165.10    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208960 | PA      | $172251.53    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126730 | PA      | $103648.61    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251677 | PA      | $206930.66    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156989 | PA      | $129318.35    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199072 | PA      | $163668.73    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59400 | PA      | $51438.92     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120379 | PA      | $99175.85     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129500 | PA      | $113052.72    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AMS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425057 | PA      | $383634.93    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195394 | PA      | $169212.51    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209730 | PA      | $181626.62    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215453 | PA      | $186228.87    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150775 | PA      | $130034.67    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196911 | PA      | $170525.38    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1408736 | PA      | $1214013.06   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ARH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130194 | PA      | $112749.57    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297100 | PA      | $256271.63    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374355 | PA      | $337386.06    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AUP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1119828 | PA      | $963733.74    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AYBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139885 | PA      | $120370.18    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B0SH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1765971 | PA      | $1524408.21   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B1TB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135659 | PA      | $116778.08    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211658 | PA      | $190223.15    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B33Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135503 | PA      | $120968.28    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    680948 | PA      | $587002.38    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151119 | PA      | $130238.38    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B5EE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323998 | PA      | $289361.57    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75298 | PA      | $64765.77     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BAUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135825 | PA      | $127127.74    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BGM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143471 | PA      | $142231.95    | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200414 | PA      | $1144225.01   | 0.03%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195752 | PA      | $200254.23    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BQRW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249442 | PA      | $245257.35    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317487 | PA      | $311681.85    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BREB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145469 | PA      | $146037.53    | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BSPH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374360 | PA      | $389245.04    | 0.01%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369044 | PA      | $369155.16    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BUGZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160030 | PA      | $166919.24    | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BUNF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116606 | PA      | $122156.16    | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154868 | PA      | $161558.78    | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BWGF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52124 | PA      | $54376.04     | 0.00%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325220 | PA      | $331438.11    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312074 | PA      | $317537.90    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133C3EF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143915 | PA      | $144477.99    | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224986 | PA      | $229714.99    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116723 | PA      | $104778.68    | 0.00%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133D4QF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445394 | PA      | $386847.14    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133D4R39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1301668 | PA      | $1168293.22   | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85811 | PA      | $70348.70     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301541 | PA      | $272296.31    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212419 | PA      | $204258.61    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KJDA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    908416 | PA      | $804545.13    | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KJNE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154544 | PA      | $133181.96    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    714194 | PA      | $590904.55    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2342606 | PA      | $2029208.76   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1597528 | PA      | $1383800.32   | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1449064 | PA      | $1249306.39   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5298990 | PA      | $4541858.39   | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    797927 | PA      | $656447.39    | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KLBE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    561754 | PA      | $435003.93    | 0.01%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1067483 | PA      | $878774.83    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KLJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244333 | PA      | $210896.78    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KMJG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478818 | PA      | $429998.20    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721902 | PA      | $588747.39    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1660075 | PA      | $1428752.75   | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KN6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    303563 | PA      | $289641.30    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KN6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1740928 | PA      | $1669083.27   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KN6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1819311 | PA      | $1743513.96   | 0.05%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133384 | PA      | $124224.05    | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205723 | PA      | $178697.54    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5871042 | PA      | $5026117.93   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    814594 | PA      | $721017.48    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1026165 | PA      | $1034346.36   | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4574073 | PA      | $4617898.08   | 0.12%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1611325 | PA      | $1537132.55   | 0.04%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160368 | PA      | $157877.40    | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPZH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    857057 | PA      | $882997.97    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KQ3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484445 | PA      | $507503.05    | 0.01%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    589470 | PA      | $595262.05    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KQXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882473 | PA      | $885743.27    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136034 | PA      | $143622.09    | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174471 | PA      | $184096.67    | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329867 | PA      | $347090.91    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49262 | PA      | $46020.80     | 0.00%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1186257 | PA      | $1035578.68   | 0.03%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1972583 | PA      | $1684243.91   | 0.05%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291498 | PA      | $245808.59    | 0.01%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498030 | PA      | $432878.01    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2065061 | PA      | $1757571.85   | 0.05%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1540886 | PA      | $1307991.87   | 0.04%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2124047 | PA      | $1852777.49   | 0.05%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2157392 | PA      | $1819915.98   | 0.05%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973911 | PA      | $846419.97    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    458462 | PA      | $427643.68    | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145123 | PA      | $126137.43    | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513328 | PA      | $444580.96    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381603 | PA      | $342498.67    | 0.01%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365178 | PA      | $329114.59    | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377790 | PA      | $327660.65    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448061 | PA      | $418624.45    | 0.01%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74027 | PA      | $69163.40     | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYX79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    940151 | PA      | $955820.66    | 0.03%             | 2042-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141535 | PA      | $144219.56    | 0.00%             | 2043-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYZJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1413983 | PA      | $1449715.17   | 0.04%             | 2043-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        63 | PA      | $62.71        | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       905 | PA      | $920.55       | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TBT26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       352 | PA      | $353.52       | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TCTN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5458 | PA      | $5574.79      | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       342 | PA      | $17.76        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4889 | PA      | $4993.47      | 0.00%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TDUF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10673 | PA      | $10915.50     | 0.00%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       630 | PA      | $642.84       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       552 | PA      | $567.51       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1360 | PA      | $1392.13      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4537 | PA      | $4630.28      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       290 | PA      | $318.48       | 0.00%             | 2029-03-15      | Floating      | 12.61%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2412 | PA      | $2499.35      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TM7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3013 | PA      | $3102.06      | 0.00%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1805 | PA      | $1895.55      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TQBZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39546 | PA      | $41531.58     | 0.00%             | 2030-10-15      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       887 | PA      | $927.52       | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4871 | PA      | $5199.50      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133USH95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    695360 | PA      | $653197.88    | 0.02%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133USHZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239939 | PA      | $206170.26    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133WKN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335596 | PA      | $336201.58    | 0.01%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       560 | PA      | $69.19        | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359PE36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       437 | PA      | $439.22       | 0.00%             | 2027-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       327 | PA      | $331.65       | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19993 | PA      | $2120.99      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       421 | PA      | $426.82       | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359ULQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1211 | PA      | $1239.17      | 0.00%             | 2028-08-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4101 | PA      | $4198.03      | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 1999-W4                                                  | CUSIP: 31359VA94<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     12049 | PA      | $12180.60     | 0.00%             | 2029-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 1999-W1                                                  | CUSIP: 31359VHH9<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      3629 | PA      | $3344.50      | 0.00%             | 2029-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359WMT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7369 | PA      | $421.08       | 0.00%             | 2029-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 313637QD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889621 | PA      | $882402.10    | 0.02%             | 2028-08-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA PRIN STRIPS                                      | Fannie Mae Principal Strip                                                      | CUSIP: 31364EBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    630000 | PA      | $577472.52    | 0.02%             | 2028-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136A5UD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119226 | PA      | $116447.92    | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624037 | PA      | $573111.87    | 0.02%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AC7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40239 | PA      | $39412.98     | 0.00%             | 2043-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136ADA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18643 | PA      | $13624.32     | 0.00%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39076 | PA      | $4102.34      | 0.00%             | 2043-06-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AFGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    956476 | PA      | $828756.92    | 0.02%             | 2043-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56485 | PA      | $42770.97     | 0.00%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AJPD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388868 | PA      | $386650.87    | 0.01%             | 2044-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AJZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730101 | PA      | $27094.56     | 0.00%             | 2029-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AKNS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176389 | PA      | $23813.32     | 0.00%             | 2043-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174397 | PA      | $172960.92    | 0.00%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717482 | PA      | $624024.53    | 0.02%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58338 | PA      | $54666.34     | 0.00%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85847 | PA      | $82089.81     | 0.00%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    634919 | PA      | $42041.27     | 0.00%             | 2046-09-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                               | Fannie Mae Grantor Trust 2017-T1                                                | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    660510 | PA      | $651384.08    | 0.02%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611657 | PA      | $604724.53    | 0.02%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212629 | PA      | $210507.82    | 0.01%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AWPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221917 | PA      | $206999.22    | 0.01%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135209 | PA      | $131790.41    | 0.00%             | 2029-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713414 | PA      | $93595.17     | 0.00%             | 2057-10-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190974 | PA      | $188707.33    | 0.01%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123741 | PA      | $10783.72     | 0.00%             | 2047-11-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105933 | PA      | $102215.90    | 0.00%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442295 | PA      | $437801.52    | 0.01%             | 2028-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55341 | PA      | $54215.63     | 0.00%             | 2028-04-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279413 | PA      | $273220.78    | 0.01%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $866769.48    | 0.02%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455185 | PA      | $446574.81    | 0.01%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B4KJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122484 | PA      | $120461.59    | 0.00%             | 2029-01-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B6XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456506 | PA      | $423941.20    | 0.01%             | 2031-10-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B8UA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147956 | PA      | $134074.96    | 0.00%             | 2037-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669706 | PA      | $398915.32    | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BAYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7279680 | PA      | $5693005.43   | 0.15%             | 2050-06-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1123487 | PA      | $1011504.86   | 0.03%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1988338 | PA      | $1606350.14   | 0.04%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334886 | PA      | $55438.45     | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BCER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426843 | PA      | $75517.17     | 0.00%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265412 | PA      | $255976.87    | 0.01%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4273913 | PA      | $177164.39    | 0.00%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BCL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1174662 | PA      | $949715.11    | 0.03%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BD2A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521107 | PA      | $400343.76    | 0.01%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1333726 | PA      | $210033.42    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1848688 | PA      | $118743.42    | 0.00%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160152 | PA      | $198345.57    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BG4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356695 | PA      | $324389.05    | 0.01%             | 2046-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2347791 | PA      | $344243.74    | 0.01%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2456260 | PA      | $383441.76    | 0.01%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BHD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662978 | PA      | $115561.05    | 0.00%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BHDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    864897 | PA      | $663522.51    | 0.02%             | 2051-05-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035316 | PA      | $874813.16    | 0.02%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BKUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7475928 | PA      | $6360088.85   | 0.17%             | 2051-03-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BKYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8459885 | PA      | $7816269.32   | 0.21%             | 2047-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3350000 | PA      | $2906159.51   | 0.08%             | 2031-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1296069.45   | 0.03%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1371741 | PA      | $1048035.05   | 0.03%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290000 | PA      | $1131445.71   | 0.03%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BP3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $193390.46    | 0.01%             | 2032-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3875000 | PA      | $3712703.38   | 0.10%             | 2032-08-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BPPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1470773 | PA      | $203093.19    | 0.01%             | 2050-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BPWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $6547632.00   | 0.18%             | 2032-04-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9405000 | PA      | $9476217.48   | 0.25%             | 2033-03-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       968 | PA      | $868.16       | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4993 | PA      | $844.16       | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       218 | PA      | $223.15       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1648 | PA      | $1668.28      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $45.98        | 0.00%             | 2029-03-01      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31374CQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650293 | PA      | $654447.11    | 0.02%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137A5UU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407000 | PA      | $398019.02    | 0.01%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278646 | PA      | $29703.61     | 0.00%             | 2041-12-15      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18792786 | PA      | $71476.48     | 0.00%             | 2026-08-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137BWS62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1418242 | PA      | $1333423.88   | 0.04%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137BWY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167541 | PA      | $148498.80    | 0.00%             | 2045-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215000 | PA      | $213304.51    | 0.01%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4136372 | PA      | $156453.72    | 0.00%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1105444 | PA      | $186245.20    | 0.00%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1485215 | PA      | $43682.25     | 0.00%             | 2030-12-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208000 | PA      | $206554.44    | 0.01%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $989614.60    | 0.03%             | 2027-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387433 | PA      | $342025.53    | 0.01%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252602 | PA      | $223728.32    | 0.01%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2139288 | PA      | $19354.99     | 0.00%             | 2027-12-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231348 | PA      | $205086.14    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FGZU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588000 | PA      | $588531.73    | 0.02%             | 2028-06-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395000 | PA      | $397408.95    | 0.01%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1835963 | PA      | $78691.04     | 0.00%             | 2034-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2225919 | PA      | $57052.76     | 0.00%             | 2029-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3700000 | PA      | $133969.97    | 0.00%             | 2029-06-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $36736.92     | 0.00%             | 2029-06-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1013320 | PA      | $7817.76      | 0.00%             | 2027-06-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    868600 | PA      | $22991.41     | 0.00%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5554166 | PA      | $16718.04     | 0.00%             | 2026-10-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $93949.11     | 0.00%             | 2030-01-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5168849 | PA      | $264133.36    | 0.01%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FUVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353528 | PA      | $310140.29    | 0.01%             | 2045-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285545 | PA      | $44099.97     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766735 | PA      | $127056.52    | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349648 | PA      | $58404.19     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1470422 | PA      | $72672.24     | 0.00%             | 2030-06-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    726888 | PA      | $707597.58    | 0.02%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3597237 | PA      | $184272.44    | 0.00%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    718739 | PA      | $97563.81     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FYAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447498 | PA      | $399876.37    | 0.01%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3755411 | PA      | $127306.56    | 0.00%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6400466 | PA      | $138883.72    | 0.00%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4605206 | PA      | $35216.01     | 0.00%             | 2028-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2931655 | PA      | $54156.47     | 0.00%             | 2028-05-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7943741 | PA      | $365553.50    | 0.01%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1229699 | PA      | $173869.91    | 0.00%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6755336 | PA      | $229749.67    | 0.01%             | 2031-07-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2478966 | PA      | $358112.37    | 0.01%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1213325 | PA      | $151594.34    | 0.00%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11585123 | PA      | $198957.11    | 0.01%             | 2031-09-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945552 | PA      | $119054.12    | 0.00%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5183865 | PA      | $85971.28     | 0.00%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5270384 | PA      | $103804.43    | 0.00%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1199738.28   | 0.03%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2037000 | PA      | $1844837.16   | 0.05%             | 2032-04-25      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5671883 | PA      | $106389.22    | 0.00%             | 2032-05-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1018663.36   | 0.03%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7459532 | PA      | $168633.17    | 0.00%             | 2032-06-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14566369 | PA      | $236755.93    | 0.01%             | 2032-07-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8347322 | PA      | $147200.85    | 0.00%             | 2032-08-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2005000 | PA      | $1941295.74   | 0.05%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1113882.30   | 0.03%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15160332 | PA      | $202425.30    | 0.01%             | 2032-10-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9PB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $970957.00    | 0.03%             | 2032-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HA4L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    815000 | PA      | $828541.06    | 0.02%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAAJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6796599 | PA      | $129894.56    | 0.00%             | 2033-05-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAMS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $102084.44    | 0.00%             | 2028-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691000 | PA      | $701844.97    | 0.02%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HBC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4180000 | PA      | $4302686.76   | 0.12%             | 2030-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31384JEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $3.27         | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31385JEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9112 | PA      | $9554.48      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31389DSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45701 | PA      | $43743.87     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EK7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380002 | PA      | $371642.47    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57626 | PA      | $54980.01     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EKZC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63520 | PA      | $65903.72     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172247 | PA      | $163588.79    | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EPDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213840 | PA      | $225067.48    | 0.01%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EPNQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332592 | PA      | $342254.41    | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EPVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495762 | PA      | $508782.87    | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EPZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192145 | PA      | $197619.54    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EQ7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170301 | PA      | $174918.28    | 0.00%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EREA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1923159 | PA      | $1936618.71   | 0.05%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26678 | PA      | $24199.87     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321414 | PA      | $293430.79    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ERXG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335859 | PA      | $331886.74    | 0.01%             | 2036-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ETD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392366 | PA      | $395273.92    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ETHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592692 | PA      | $594529.53    | 0.02%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ETN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372511 | PA      | $388992.61    | 0.01%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ETPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117078 | PA      | $122128.29    | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138L8D35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847747 | PA      | $840792.32    | 0.02%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424843 | PA      | $409977.46    | 0.01%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622381 | PA      | $596560.72    | 0.02%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138L9US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $625788.10    | 0.02%             | 2030-04-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LC7C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422884 | PA      | $420974.01    | 0.01%             | 2026-03-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LDJ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200656 | PA      | $1174096.43   | 0.03%             | 2028-07-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LDPQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778378 | PA      | $740465.86    | 0.02%             | 2036-03-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LH6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369448 | PA      | $361584.70    | 0.01%             | 2029-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LHFT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167706 | PA      | $164290.20    | 0.00%             | 2029-02-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LHPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    917867 | PA      | $847142.35    | 0.02%             | 2037-03-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LJB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    975668 | PA      | $961426.98    | 0.03%             | 2027-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LKTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1040449 | PA      | $999569.35    | 0.03%             | 2029-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LL2N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2675908 | PA      | $2585525.13   | 0.07%             | 2030-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LMF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1486576 | PA      | $1436246.80   | 0.04%             | 2030-03-01      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LNXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480082 | PA      | $476094.73    | 0.01%             | 2028-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LPCN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1189836.54   | 0.03%             | 2030-02-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88975 | PA      | $86633.18     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74411 | PA      | $68521.44     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160803 | PA      | $148074.97    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WDH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4843822 | PA      | $4603235.83   | 0.12%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WEW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33930 | PA      | $31080.94     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WHSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81382 | PA      | $74070.56     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23519 | PA      | $21340.81     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WJSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184975 | PA      | $168355.26    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90282 | PA      | $87577.55     | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714798 | PA      | $652560.73    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610572 | PA      | $589453.57    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159476 | PA      | $146836.38    | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138Y4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4825690 | PA      | $4680855.63   | 0.13%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       304 | PA      | $311.76       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       574 | PA      | $592.31       | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4853 | PA      | $5071.93      | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9459 | PA      | $9929.96      | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14841 | PA      | $15653.73     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8845 | PA      | $150.91       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       398 | PA      | $477.23       | 0.00%             | 2032-02-25      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5788 | PA      | $6032.27      | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392CKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8184 | PA      | $7742.81      | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 2002-W7                                                  | CUSIP: 31392DD41<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     62129 | PA      | $63381.96     | 0.00%             | 2029-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392EXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13266 | PA      | $1108.84      | 0.00%             | 2032-10-18      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1309 | PA      | $1417.53      | 0.00%             | 2032-12-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 2003-W1                                                  | CUSIP: 31392GVX0<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     78141 | PA      | $77406.00     | 0.00%             | 2042-12-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 2003-W1                                                  | CUSIP: 31392GWB7<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     12066 | PA      | $11918.59     | 0.00%             | 2042-12-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63548 | PA      | $65651.92     | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17198 | PA      | $17943.55     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6665 | PA      | $6969.38      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2385 | PA      | $218.92       | 0.00%             | 2032-03-15      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3578 | PA      | $324.78       | 0.00%             | 2032-03-15      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4834 | PA      | $4689.18      | 0.00%             | 2032-07-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4842 | PA      | $4994.32      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10522 | PA      | $10879.28     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36646 | PA      | $36369.09     | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6167 | PA      | $6364.08      | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7686 | PA      | $1158.50      | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1214 | PA      | $1206.59      | 0.00%             | 2033-07-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10315 | PA      | $9697.54      | 0.00%             | 2033-08-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1869 | PA      | $1965.81      | 0.00%             | 2033-09-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8789 | PA      | $9191.26      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216473 | PA      | $224415.82    | 0.01%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34995 | PA      | $36261.75     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393L2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63970 | PA      | $65609.33     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41594 | PA      | $42208.90     | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17782 | PA      | $18792.84     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2005 | PA      | $271.13       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128613 | PA      | $100529.13    | 0.00%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16292 | PA      | $1335.55      | 0.00%             | 2033-11-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $177.89       | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       145 | PA      | $149.05       | 0.00%             | 2034-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393UZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24586 | PA      | $25161.30     | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11654 | PA      | $12615.69     | 0.00%             | 2034-05-25      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae Trust 2004-W2                                                        | CUSIP: 31393XGQ4<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |      3472 | PA      | $3601.97      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393XV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31211 | PA      | $31254.02     | 0.00%             | 2034-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1171 | PA      | $1194.74      | 0.00%             | 2034-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3319 | PA      | $3442.79      | 0.00%             | 2034-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 2004-W11                                                 | CUSIP: 31394AB47<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      3043 | PA      | $3149.54      | 0.00%             | 2044-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6439 | PA      | $6870.84      | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394BFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155572 | PA      | $158890.12    | 0.00%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394BZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162221 | PA      | $167661.46    | 0.00%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394DQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16774 | PA      | $18771.66     | 0.00%             | 2035-06-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8329 | PA      | $8625.95      | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31394GBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8652 | PA      | $8513.11      | 0.00%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31394JY35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10590 | PA      | $11152.24     | 0.00%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5581 | PA      | $4754.28      | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       100 | PA      | $10.51        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31394TXA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55742 | PA      | $56612.38     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8531 | PA      | $7451.54      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2737 | PA      | $3182.18      | 0.00%             | 2036-06-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31395R2E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76914 | PA      | $79103.16     | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31396CJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47281 | PA      | $48341.94     | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19561 | PA      | $23856.29     | 0.00%             | 2035-12-15      | Floating      | 12.33%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31396GS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69616 | PA      | $71405.91     | 0.00%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5857 | PA      | $5025.82      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15876 | PA      | $1533.87      | 0.00%             | 2036-12-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7722 | PA      | $6684.30      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42337 | PA      | $3264.84      | 0.00%             | 2036-08-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20738 | PA      | $1638.87      | 0.00%             | 2037-06-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27563 | PA      | $2528.10      | 0.00%             | 2037-09-25      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15086 | PA      | $1397.01      | 0.00%             | 2037-10-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15438 | PA      | $1166.73      | 0.00%             | 2038-02-25      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4507 | PA      | $349.77       | 0.00%             | 2038-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6887 | PA      | $568.81       | 0.00%             | 2037-01-15      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371664 | PA      | $33270.80     | 0.00%             | 2037-10-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4889 | PA      | $566.68       | 0.00%             | 2038-07-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6622 | PA      | $364.65       | 0.00%             | 2038-06-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5842 | PA      | $351.90       | 0.00%             | 2037-11-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17938 | PA      | $1611.12      | 0.00%             | 2037-11-15      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80305 | PA      | $83046.91     | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397TP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1812 | PA      | $154.50       | 0.00%             | 2038-05-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62920 | PA      | $5586.38      | 0.00%             | 2038-06-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14018 | PA      | $1284.17      | 0.00%             | 2040-01-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176127 | PA      | $178032.74    | 0.00%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398NJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580828 | PA      | $59448.57     | 0.00%             | 2040-09-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5229 | PA      | $500.87       | 0.00%             | 2040-04-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398R2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190695 | PA      | $195302.22    | 0.01%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398SND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220472 | PA      | $208707.16    | 0.01%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       571 | PA      | $573.96       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31402AF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4380 | PA      | $4486.09      | 0.00%             | 2033-07-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123661 | PA      | $127135.76    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7990 | PA      | $8187.48      | 0.00%             | 2034-08-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6064 | PA      | $6192.84      | 0.00%             | 2034-10-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5746 | PA      | $5899.65      | 0.00%             | 2033-04-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31403DVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15693 | PA      | $16613.30     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7879 | PA      | $7921.82      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3798 | PA      | $3885.59      | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4188 | PA      | $4279.03      | 0.00%             | 2034-01-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3345 | PA      | $3431.75      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17142 | PA      | $17812.82     | 0.00%             | 2035-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11930 | PA      | $12250.95     | 0.00%             | 2035-05-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31407KPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5997 | PA      | $6152.73      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31408CDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42895 | PA      | $43962.44     | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24328 | PA      | $22098.66     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140F9WR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604202 | PA      | $549913.72    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526139 | PA      | $479573.60    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXEE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165795 | PA      | $155982.65    | 0.00%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3133534 | PA      | $2979102.43   | 0.08%             | 2056-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629868 | PA      | $598823.05    | 0.02%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    796491 | PA      | $777775.01    | 0.02%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    958546 | PA      | $1002263.44   | 0.03%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1218357 | PA      | $1165113.77   | 0.03%             | 2058-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    779711 | PA      | $761392.88    | 0.02%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70662 | PA      | $68805.13     | 0.00%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583723 | PA      | $535521.20    | 0.01%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550181 | PA      | $478647.51    | 0.01%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3805984 | PA      | $3133881.15   | 0.08%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670750 | PA      | $682339.22    | 0.02%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1800065 | PA      | $1482182.21   | 0.04%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885650 | PA      | $811602.69    | 0.02%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1527730 | PA      | $1388162.72   | 0.04%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237731 | PA      | $222914.80    | 0.01%             | 2062-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    728447 | PA      | $686209.13    | 0.02%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655601 | PA      | $657037.94    | 0.02%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    836849 | PA      | $689064.42    | 0.02%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267839 | PA      | $255131.71    | 0.01%             | 2062-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1111098 | PA      | $959709.77    | 0.03%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    843232 | PA      | $766200.62    | 0.02%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727592 | PA      | $710255.29    | 0.02%             | 2062-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140GPAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    695444 | PA      | $685413.81    | 0.02%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140GTF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159815 | PA      | $154515.30    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140GTF39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124464 | PA      | $121853.15    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140GTFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98215 | PA      | $95110.43     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140H3XP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617608 | PA      | $584362.24    | 0.02%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220530 | PA      | $219811.12    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249902 | PA      | $215188.34    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HNWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165447 | PA      | $163211.74    | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HNWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160212 | PA      | $159115.20    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HPA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146899 | PA      | $147828.20    | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HSAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2235000 | PA      | $2186487.09   | 0.06%             | 2034-02-01      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $299197.33    | 0.01%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271929 | PA      | $265363.04    | 0.01%             | 2029-05-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HV4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671018 | PA      | $632546.57    | 0.02%             | 2029-10-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995812 | PA      | $943471.37    | 0.03%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HX6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1248276 | PA      | $1149311.70   | 0.03%             | 2030-04-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1488436 | PA      | $1202376.99   | 0.03%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HYCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1053462 | PA      | $961225.97    | 0.03%             | 2030-08-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J2H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1137464 | PA      | $1008716.60   | 0.03%             | 2030-10-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J2VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1147255.02   | 0.03%             | 2031-01-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J2WF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $969128.25    | 0.03%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J7RS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439430 | PA      | $459421.82    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J7XC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784700 | PA      | $742853.83    | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J8VU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3131001 | PA      | $2870113.58   | 0.08%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469641 | PA      | $491876.91    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507495 | PA      | $484659.40    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676320 | PA      | $645260.83    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9T68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1570504 | PA      | $1433812.47   | 0.04%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9T84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260837 | PA      | $1142237.55   | 0.03%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JAA81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232468 | PA      | $236341.38    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    818544 | PA      | $716144.28    | 0.02%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8203499 | PA      | $6882001.52   | 0.18%             | 2032-11-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13734256 | PA      | $11556707.04  | 0.31%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83023 | PA      | $68837.84     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965466 | PA      | $916119.28    | 0.02%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1675954 | PA      | $1491151.23   | 0.04%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160421 | PA      | $132113.34    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1640674 | PA      | $1430347.76   | 0.04%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220472 | PA      | $218930.73    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JMGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136775 | PA      | $139629.54    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JNRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74108 | PA      | $74519.41     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JPFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29374 | PA      | $28263.69     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JWMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30359 | PA      | $29410.44     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JWR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36436 | PA      | $35070.38     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140K0SW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1376047 | PA      | $1240696.98   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140K1HB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452418 | PA      | $431452.27    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140K7KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248709 | PA      | $239333.62    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KBZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587943 | PA      | $542783.43    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KEEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1231586 | PA      | $1043607.74   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102847 | PA      | $84931.00     | 0.00%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553392 | PA      | $477767.28    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KLJH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372550 | PA      | $304150.23    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104789 | PA      | $86781.99     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KNVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467574 | PA      | $380147.10    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KQPL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515212 | PA      | $421052.53    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186679 | PA      | $161332.72    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KVBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413489 | PA      | $340492.51    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KXAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116653 | PA      | $100711.02    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135073 | PA      | $116925.10    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KYPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490545 | PA      | $404616.73    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180915 | PA      | $147999.49    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306204 | PA      | $252420.32    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174581 | PA      | $143737.79    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455933 | PA      | $376094.79    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L0AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203272 | PA      | $166844.30    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L0FH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147117 | PA      | $120752.70    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L0RZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68021 | PA      | $61487.96     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103199 | PA      | $84741.81     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164358 | PA      | $136511.40    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289626 | PA      | $236805.30    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190161 | PA      | $156923.03    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583970 | PA      | $481586.06    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L2PV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331859 | PA      | $272388.35    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L2QE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600824 | PA      | $493154.76    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241833 | PA      | $198971.81    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138954 | PA      | $114657.61    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184373 | PA      | $151695.73    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132108 | PA      | $108626.89    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130868 | PA      | $108079.97    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    968003 | PA      | $792799.16    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264693 | PA      | $218195.12    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57064 | PA      | $49416.86     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132716 | PA      | $108607.56    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123939 | PA      | $102405.61    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185707 | PA      | $152973.41    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L7FS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50965 | PA      | $44052.95     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136161 | PA      | $112372.07    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126299 | PA      | $103987.27    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L8DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273925 | PA      | $236983.24    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LAQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1188870 | PA      | $1066986.71   | 0.03%             | 2029-12-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LEYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1985000 | PA      | $1746249.76   | 0.05%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LEZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2829286 | PA      | $2430590.18   | 0.07%             | 2034-01-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LFY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297846 | PA      | $284363.38    | 0.01%             | 2032-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LG2B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98064.52     | 0.00%             | 2032-07-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LG2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99565 | PA      | $99500.84     | 0.00%             | 2032-07-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $194134.90    | 0.01%             | 2032-07-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LG5U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486290 | PA      | $466169.10    | 0.01%             | 2032-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97280.99     | 0.00%             | 2032-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97242.22     | 0.00%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1386000 | PA      | $1318464.86   | 0.04%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96570 | PA      | $93859.55     | 0.00%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96607 | PA      | $93536.19     | 0.00%             | 2032-06-01      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94660 | PA      | $91303.89     | 0.00%             | 2032-06-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $191887.50    | 0.01%             | 2032-07-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGVR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94598 | PA      | $92240.07     | 0.00%             | 2032-07-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $193011.11    | 0.01%             | 2032-08-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95083 | PA      | $93212.87     | 0.00%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96994 | PA      | $96205.14     | 0.00%             | 2032-07-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98736.00     | 0.00%             | 2032-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $773314.21    | 0.02%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGYW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $293511.49    | 0.01%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189823 | PA      | $185558.71    | 0.00%             | 2032-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039933 | PA      | $1044021.95   | 0.03%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LH3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2955000 | PA      | $2973387.61   | 0.08%             | 2034-11-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LH3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1010000 | PA      | $977542.33    | 0.03%             | 2032-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LH6E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1445667 | PA      | $1471045.89   | 0.04%             | 2030-06-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936000 | PA      | $900595.84    | 0.02%             | 2032-09-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105031 | PA      | $1069121.44   | 0.03%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHCW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $96904.61     | 0.00%             | 2032-08-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1043891.41   | 0.03%             | 2032-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    953862 | PA      | $923878.43    | 0.02%             | 2032-08-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476030 | PA      | $473964.97    | 0.01%             | 2032-10-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1405000 | PA      | $1384570.13   | 0.04%             | 2032-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1245000 | PA      | $1206324.78   | 0.03%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $990699.27    | 0.03%             | 2032-10-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775000 | PA      | $797335.76    | 0.02%             | 2032-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070000 | PA      | $1084833.55   | 0.03%             | 2033-02-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJLM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $499316.39    | 0.01%             | 2033-02-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJNR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $498585.98    | 0.01%             | 2033-03-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $202474.17    | 0.01%             | 2033-01-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $203667.72    | 0.01%             | 2033-01-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96097 | PA      | $97291.77     | 0.00%             | 2033-01-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJUG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1614316.42   | 0.04%             | 2030-03-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1162621.26   | 0.03%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJX27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2002559.78   | 0.05%             | 2033-03-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LK3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1564422.38   | 0.04%             | 2033-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LKKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $709047.89    | 0.02%             | 2028-06-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LKKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $406575.04    | 0.01%             | 2030-06-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LKSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3210000 | PA      | $3192832.31   | 0.09%             | 2035-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LKUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $1069218.20   | 0.03%             | 2031-11-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LLKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1302180 | PA      | $1314461.74   | 0.04%             | 2033-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LLP62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $511828.46    | 0.01%             | 2028-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LLQ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1124635.91   | 0.03%             | 2028-09-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LLQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199653 | PA      | $206433.93    | 0.01%             | 2028-09-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258221 | PA      | $222863.54    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LNA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571876 | PA      | $495243.37    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82406 | PA      | $66741.90     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340015 | PA      | $293503.21    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341735 | PA      | $295380.13    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126967 | PA      | $109953.19    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139003 | PA      | $120059.36    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LUFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441712 | PA      | $380616.61    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865721 | PA      | $737018.99    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M2PG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306527 | PA      | $263998.82    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807176 | PA      | $724241.03    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M32Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394232 | PA      | $318836.70    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347074 | PA      | $298769.78    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1088141 | PA      | $926485.20    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M4UV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778211 | PA      | $665971.52    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M7SP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63612 | PA      | $56827.18     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MAWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151033 | PA      | $152290.92    | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127277 | PA      | $114438.03    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342761 | PA      | $294851.30    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MGQV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143991 | PA      | $135043.08    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126034 | PA      | $112806.09    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75625 | PA      | $64907.04     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MKAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192191 | PA      | $184688.70    | 0.00%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476896 | PA      | $446501.29    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MQAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67672 | PA      | $64925.39     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335120 | PA      | $336673.48    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140N6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430579 | PA      | $423394.37    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140N7GY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76086 | PA      | $76030.83     | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NBEP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101466 | PA      | $105849.14    | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NBPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205753 | PA      | $210708.53    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NCRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222780 | PA      | $232910.41    | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NEPD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626453 | PA      | $632608.11    | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1582344 | PA      | $1582291.77   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NSQX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    529155 | PA      | $554340.87    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NUUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3077933 | PA      | $3199532.19   | 0.09%             | 2033-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NX5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2982761 | PA      | $3021664.59   | 0.08%             | 2035-04-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NXB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1861000 | PA      | $1847123.99   | 0.05%             | 2035-01-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NXF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12348588 | PA      | $12410123.18  | 0.33%             | 2032-01-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NXWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2868600 | PA      | $2931227.99   | 0.08%             | 2034-04-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NY6C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5016728.50   | 0.13%             | 2032-08-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NYM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4692000 | PA      | $4703750.69   | 0.13%             | 2032-06-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NYMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4770000 | PA      | $4827429.27   | 0.13%             | 2035-05-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NYMK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840704 | PA      | $1833274.24   | 0.05%             | 2035-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NYP54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2502000 | PA      | $2549923.66   | 0.07%             | 2035-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q0MV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6285000 | PA      | $6225597.20   | 0.17%             | 2032-10-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q0NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6209000 | PA      | $6293618.11   | 0.17%             | 2035-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q0NS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4054476.88   | 0.11%             | 2035-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q0VG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2100000 | PA      | $2145641.82   | 0.06%             | 2035-10-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q7SL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3488 | PA      | $3099.81      | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q8J48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991017 | PA      | $934442.08    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283048 | PA      | $281126.91    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470206 | PA      | $466917.93    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399700 | PA      | $384518.74    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22915 | PA      | $22791.72     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QADH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201979 | PA      | $200462.69    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QAJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318895 | PA      | $316138.96    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QANG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174842 | PA      | $174140.50    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QBDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64340 | PA      | $65293.62     | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QC6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352735 | PA      | $337569.35    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1027014 | PA      | $885387.12    | 0.02%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QEKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1946789 | PA      | $1683524.54   | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QERD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54127 | PA      | $47801.11     | 0.00%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QEYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506221 | PA      | $413492.25    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QEZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464695 | PA      | $436561.24    | 0.01%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677626 | PA      | $554199.28    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187836 | PA      | $153389.20    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489024 | PA      | $422629.19    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498926 | PA      | $447444.60    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QGM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3420610 | PA      | $2970046.88   | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QGXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1312696 | PA      | $1069772.65   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QHG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1690518 | PA      | $1376623.45   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426046 | PA      | $383789.51    | 0.01%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1545066 | PA      | $1257710.36   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519266 | PA      | $467217.98    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504809 | PA      | $454482.11    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66945 | PA      | $57157.25     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734973 | PA      | $664156.74    | 0.02%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559829 | PA      | $460391.79    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039433 | PA      | $851965.95    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2947910 | PA      | $2540301.11   | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2024276 | PA      | $1745986.71   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791347 | PA      | $681557.64    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2501342 | PA      | $2220925.76   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770280 | PA      | $681794.20    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9612174 | PA      | $8523925.40   | 0.23%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205003 | PA      | $184761.95    | 0.00%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358565 | PA      | $322068.30    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10342263 | PA      | $8850659.39   | 0.24%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191025 | PA      | $162325.55    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2718834 | PA      | $2364841.25   | 0.06%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    817384 | PA      | $703502.18    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200257 | PA      | $185492.24    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826270 | PA      | $739497.49    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1690599 | PA      | $1620162.92   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1115981 | PA      | $1038366.55   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNVN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1728043 | PA      | $1656862.72   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70066 | PA      | $64934.83     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370231 | PA      | $353303.20    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126759 | PA      | $121734.20    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QP2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219223 | PA      | $214907.52    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QP3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139182 | PA      | $139697.27    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QP3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806756 | PA      | $831094.81    | 0.02%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132743 | PA      | $134883.56    | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1046587 | PA      | $979195.68    | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481416 | PA      | $429773.19    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198548 | PA      | $200380.20    | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156349 | PA      | $145487.51    | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3769365 | PA      | $3596429.34   | 0.10%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QQSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704276 | PA      | $722989.15    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258562 | PA      | $272514.57    | 0.01%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1188782 | PA      | $1244130.89   | 0.03%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QRRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    603819 | PA      | $593272.50    | 0.02%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QRVY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459452 | PA      | $449719.71    | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2058039 | PA      | $2107605.81   | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QS3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3287786 | PA      | $3340886.65   | 0.09%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638065 | PA      | $651090.62    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1543405 | PA      | $1605424.45   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2234720 | PA      | $2256135.08   | 0.06%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1165122 | PA      | $1197207.32   | 0.03%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1964678 | PA      | $1992584.83   | 0.05%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140W2MY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5650145 | PA      | $4859253.52   | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284981 | PA      | $273634.76    | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93636 | PA      | $90062.70     | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672690 | PA      | $683212.81    | 0.02%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140674 | PA      | $138605.32    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4P75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254511 | PA      | $256587.42    | 0.01%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4PF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810195 | PA      | $785479.38    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154623 | PA      | $142185.24    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4W69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239205 | PA      | $240976.93    | 0.01%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X5EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125106 | PA      | $123672.74    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X5FW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230881 | PA      | $209466.77    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X5TL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228429 | PA      | $225843.49    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X5YV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209489 | PA      | $197302.03    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1333099 | PA      | $1324054.21   | 0.04%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X67M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179578 | PA      | $162822.70    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882109 | PA      | $861094.00    | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X6MU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858972 | PA      | $834168.78    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626051 | PA      | $585704.75    | 0.02%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X72U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282814 | PA      | $290818.67    | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2119860 | PA      | $2005400.76   | 0.05%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927878 | PA      | $757514.08    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437253 | PA      | $376380.34    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8DY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713702 | PA      | $677455.20    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8LV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1303425 | PA      | $1073873.59   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508464 | PA      | $513096.17    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700766 | PA      | $605002.27    | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9HW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419529 | PA      | $340243.91    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9LP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400594 | PA      | $331238.48    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9LZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148521 | PA      | $128233.36    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358301 | PA      | $341352.45    | 0.01%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65168 | PA      | $63622.35     | 0.00%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181979 | PA      | $157121.39    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1201220 | PA      | $985957.58    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73010 | PA      | $70706.47     | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9XJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536673 | PA      | $561058.16    | 0.02%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XA3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92543 | PA      | $87148.20     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XA5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74433 | PA      | $72013.93     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XA7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289119 | PA      | $245063.81    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138689 | PA      | $114626.27    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727021 | PA      | $596737.02    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135456 | PA      | $112274.30    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784387 | PA      | $645485.34    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307364 | PA      | $265848.45    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741292 | PA      | $608447.76    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135495 | PA      | $117504.68    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XB5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    607289 | PA      | $545309.59    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229260 | PA      | $222077.84    | 0.01%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2021820 | PA      | $1740035.87   | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443113 | PA      | $383745.46    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137309 | PA      | $118687.75    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120124 | PA      | $104867.61    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419337 | PA      | $405445.41    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95453 | PA      | $92290.82     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128796 | PA      | $111085.70    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91484 | PA      | $79077.21     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415935 | PA      | $360995.63    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108006 | PA      | $102770.97    | 0.00%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126289 | PA      | $110248.56    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84575 | PA      | $72929.23     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117455 | PA      | $106259.24    | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028323 | PA      | $927388.23    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830435 | PA      | $716272.44    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985417 | PA      | $879968.10    | 0.02%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2399891 | PA      | $2222957.95   | 0.06%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847411 | PA      | $766496.31    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1155497 | PA      | $998765.51    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2350563 | PA      | $2005140.38   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660397 | PA      | $570984.47    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XD6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147462 | PA      | $127081.49    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XD6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352783 | PA      | $306849.86    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259548 | PA      | $235109.75    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562711 | PA      | $490495.93    | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006023 | PA      | $865834.65    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68088 | PA      | $58965.89     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814021 | PA      | $735335.84    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219833 | PA      | $187337.62    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262511 | PA      | $237170.52    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127677 | PA      | $109907.18    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDN77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255978 | PA      | $244059.50    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142826 | PA      | $117228.40    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520532 | PA      | $424532.23    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775186 | PA      | $698481.36    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223424 | PA      | $183381.51    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365172 | PA      | $317624.70    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1247289 | PA      | $1074929.93   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122574 | PA      | $106492.92    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427056 | PA      | $367862.40    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFAK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1659528 | PA      | $1539448.15   | 0.04%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335634 | PA      | $302171.40    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231706 | PA      | $209280.66    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115810 | PA      | $105014.11    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284898 | PA      | $281893.67    | 0.01%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287763 | PA      | $248200.08    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787382 | PA      | $703205.41    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61507 | PA      | $55919.61     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135866 | PA      | $118611.44    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135514 | PA      | $122228.49    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1446289 | PA      | $1191536.48   | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009109 | PA      | $869671.31    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68407 | PA      | $59304.66     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFRD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144245 | PA      | $134568.62    | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424744 | PA      | $381671.34    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131552 | PA      | $971873.38    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141148 | PA      | $121829.68    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072442 | PA      | $922444.10    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365390 | PA      | $315409.98    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357039 | PA      | $307699.40    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310784 | PA      | $267431.86    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72933 | PA      | $59352.52     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73867 | PA      | $66209.66     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71552 | PA      | $58974.98     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFX30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671296 | PA      | $603758.28    | 0.02%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFY47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794045 | PA      | $761153.48    | 0.02%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFYA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1117228 | PA      | $1080566.93   | 0.03%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648886 | PA      | $576141.84    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72243 | PA      | $63024.21     | 0.00%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611643 | PA      | $541535.44    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452167 | PA      | $372431.49    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2831986 | PA      | $2559303.50   | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGG45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473676 | PA      | $439830.93    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139247 | PA      | $120396.48    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295598 | PA      | $250772.31    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1577580 | PA      | $1479222.39   | 0.04%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2086520 | PA      | $1863208.53   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739889 | PA      | $683804.95    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGLT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136061 | PA      | $127890.70    | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707938 | PA      | $641443.87    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2211810 | PA      | $2074769.65   | 0.06%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGQ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096849 | PA      | $971288.04    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134406 | PA      | $123861.93    | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1372718 | PA      | $1391448.12   | 0.04%             | 2051-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152912 | PA      | $142447.21    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414293 | PA      | $388129.43    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642322 | PA      | $627131.38    | 0.02%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206615 | PA      | $190255.25    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142312 | PA      | $122723.35    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1777628 | PA      | $1667154.12   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604216 | PA      | $563333.77    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224936 | PA      | $192083.74    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XH3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110856 | PA      | $957262.56    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XH5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5231316 | PA      | $4433480.63   | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XHBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    915592 | PA      | $818755.05    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XHWC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914936 | PA      | $873317.32    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJ7B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2222049 | PA      | $2230768.31   | 0.06%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916489 | PA      | $853832.11    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1660115 | PA      | $1360989.72   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    607042 | PA      | $598152.63    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJKX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76257 | PA      | $66422.97     | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397868 | PA      | $1304038.74   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1578553 | PA      | $1401595.31   | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267607 | PA      | $275269.90    | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105067 | PA      | $1096882.04   | 0.03%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286984 | PA      | $288287.53    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148081 | PA      | $144479.29    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238544 | PA      | $214693.50    | 0.01%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK6S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215663 | PA      | $215710.70    | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284864 | PA      | $279109.03    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKHM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409616 | PA      | $402841.72    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592214 | PA      | $584152.69    | 0.02%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372233 | PA      | $373036.11    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400973 | PA      | $395919.80    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405569 | PA      | $406120.55    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515596 | PA      | $545014.99    | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402240 | PA      | $384163.49    | 0.01%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKS27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249671 | PA      | $251919.13    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154860 | PA      | $161122.56    | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588509 | PA      | $602682.60    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1219046 | PA      | $1005600.05   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1311403 | PA      | $1078478.66   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159022 | PA      | $148428.99    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453187 | PA      | $457268.81    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484059 | PA      | $397776.27    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XL6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1672907 | PA      | $1443952.24   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397796 | PA      | $401705.02    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    854183 | PA      | $732322.31    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLCK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    737383 | PA      | $761650.21    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLD47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1104017 | PA      | $1135310.09   | 0.03%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80306 | PA      | $69675.90     | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82498 | PA      | $67368.52     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271669 | PA      | $259375.91    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704782 | PA      | $708363.41    | 0.02%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361631 | PA      | $368670.38    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110754 | PA      | $1174156.33   | 0.03%             | 2042-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70397 | PA      | $72500.90     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3875226 | PA      | $3672967.36   | 0.10%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLWE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267589 | PA      | $249881.36    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    998606 | PA      | $1036661.13   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1448856 | PA      | $1234937.51   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XMYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2103991 | PA      | $1885117.89   | 0.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XPHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2355935 | PA      | $2206719.35   | 0.06%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XPNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7525485 | PA      | $6388078.84   | 0.17%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XPV71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657569 | PA      | $643102.57    | 0.02%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XQFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    857170 | PA      | $882287.17    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XQUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612657 | PA      | $522124.56    | 0.01%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31410LFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144309 | PA      | $145231.25    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113560 | PA      | $109062.25    | 0.00%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31412UP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1775 | PA      | $1790.83      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31413GEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1775 | PA      | $1835.91      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31414B7L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1124 | PA      | $1170.63      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31415PZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       363 | PA      | $378.02       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31416BNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162490 | PA      | $166786.29    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31416MV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58529 | PA      | $58471.44     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329920 | PA      | $332771.20    | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31416YJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63124 | PA      | $61799.99     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84116 | PA      | $81901.89     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45567 | PA      | $44367.56     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151801 | PA      | $144172.66    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306583 | PA      | $293371.71    | 0.01%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676451 | PA      | $645743.65    | 0.02%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193990 | PA      | $189397.88    | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121626 | PA      | $118710.44    | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163448 | PA      | $156195.41    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96907 | PA      | $96728.64     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420475 | PA      | $402152.62    | 0.01%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238626 | PA      | $225446.07    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108014 | PA      | $1057173.58   | 0.03%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208402 | PA      | $194927.40    | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CC77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114844 | PA      | $108497.81    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746134 | PA      | $710879.93    | 0.02%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1500 | PA      | $1356.15      | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362346 | PA      | $1275818.42   | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1972558 | PA      | $1868802.99   | 0.05%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3805136 | PA      | $3092657.71   | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814613 | PA      | $710071.63    | 0.02%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272591 | PA      | $237269.61    | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096179 | PA      | $935146.64    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557635 | PA      | $478470.98    | 0.01%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77878 | PA      | $67913.63     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2057619 | PA      | $1681986.28   | 0.05%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230534 | PA      | $210142.87    | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289130 | PA      | $285141.82    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93794 | PA      | $80155.26     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67583 | PA      | $63042.23     | 0.00%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1305371 | PA      | $1065712.34   | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381924 | PA      | $346811.19    | 0.01%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507565 | PA      | $391628.72    | 0.01%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132758 | PA      | $108328.78    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1849356 | PA      | $1431515.64   | 0.04%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154096 | PA      | $125579.84    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1051974 | PA      | $918352.00    | 0.02%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483141 | PA      | $421085.22    | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2623287 | PA      | $2137027.53   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1011478 | PA      | $823356.51    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201609 | PA      | $175882.02    | 0.00%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213322 | PA      | $185415.99    | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719840 | PA      | $625217.53    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219444 | PA      | $190461.81    | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356005 | PA      | $317872.83    | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806397 | PA      | $714278.41    | 0.02%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54599 | PA      | $50600.78     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153191 | PA      | $132863.79    | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763859 | PA      | $709292.03    | 0.02%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147890 | PA      | $137441.89    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1939062 | PA      | $1907573.24   | 0.05%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1010918 | PA      | $963130.07    | 0.03%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901822 | PA      | $883792.91    | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1590174 | PA      | $1558049.40   | 0.04%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804828 | PA      | $818637.50    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1695910 | PA      | $1696684.31   | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EV72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804793 | PA      | $804953.21    | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1318088 | PA      | $1356038.31   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1115962 | PA      | $1145333.18   | 0.03%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1283501 | PA      | $1318013.59   | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418MZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158232 | PA      | $167963.12    | 0.00%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1541534 | PA      | $250541.24    | 0.01%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3142FFGX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $8215613.11   | 0.22%             | 2034-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TR                                | Fells Point Funding Trust                                                       | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1565848.10   | 0.04%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                    | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626283 | PA      | $525087.89    | 0.01%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities         | First Horizon Alternative Mortgage Securities Trust 2005-FA8                    | CUSIP: 32051GYZ2<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |     46094 | PA      | $19434.49     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                      | First Investors Auto Owner Trust 2023-1                                         | CUSIP: 320986AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4113666.00   | 0.11%             | 2029-12-17      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                        | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5142000 | PA      | $5065761.11   | 0.14%             | 2038-08-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                        | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5415999.60   | 0.15%             | 2038-08-17      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                        | FirstKey Homes 2022-SFR3 Trust                                                  | CUSIP: 33768EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    784000 | PA      | $781724.05    | 0.02%             | 2038-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                            | Fiserv Inc                                                                      | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69696.54     | 0.00%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                            | Fiserv Inc                                                                      | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     65000 | PA      | $50999.90     | 0.00%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                            | Fiserv Inc                                                                      | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1463596.91   | 0.04%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                      | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1603576.65   | 0.04%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                        | CUSIP: 341081EU7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51853.11     | 0.00%             | 2035-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                        | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    210000 | PA      | $201101.60    | 0.01%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                        | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    880000 | PA      | $893945.01    | 0.02%             | 2065-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                          | Ford Credit Auto Owner Trust 2024-B                                             | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1213000 | PA      | $1228602.46   | 0.03%             | 2029-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                   | Ford Foundation/The                                                             | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |     90000 | PA      | $50738.47     | 0.00%             | 2070-06-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| FORTIS INC                                            | Fortis Inc/Canada                                                               | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |     85000 | PA      | $84297.67     | 0.00%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                              | Foundation Finance Trust 2023-2                                                 | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2474837 | PA      | $2645735.30   | 0.07%             | 2049-06-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                           | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    683000 | PA      | $714033.26    | 0.02%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1                   | CUSIP: 35563P7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    681157 | PA      | $588505.38    | 0.02%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                          | CUSIP: 35563PDD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8852987 | PA      | $8017753.66   | 0.21%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-2                   | CUSIP: 35563PG37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4039462 | PA      | $3753954.72   | 0.10%             | 2062-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                   | CUSIP: 35563PJE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2427456 | PA      | $2177187.70   | 0.06%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2023-1                   | CUSIP: 35563PK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1115210 | PA      | $937684.57    | 0.03%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293928 | PA      | $248145.52    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2                   | CUSIP: 35563PX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5215875 | PA      | $4536136.75   | 0.12%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Seasoned Credit Risk Transfer Trust Series 2025-1                               | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7399455 | PA      | $6365431.96   | 0.17%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Seasoned Credit Risk Transfer Trust Series 2025-2                               | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5113565 | PA      | $4346512.46   | 0.12%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                    | Seasoned Loans Structured Transaction Trust Series 2025-1                       | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7526856 | PA      | $6974119.71   | 0.19%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |    349692 | PA      | $350880.72    | 0.01%             | 2034-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |   1975964 | PA      | $1982052.43   | 0.05%             | 2041-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |   1001000 | PA      | $1015052.64   | 0.03%             | 2042-01-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |    543765 | PA      | $545007.50    | 0.01%             | 2042-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |   2640000 | PA      | $2704983.60   | 0.07%             | 2042-04-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $720283.20    | 0.02%             | 2042-05-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2025-DNA2                                         | CUSIP: 35564NJA2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |    422000 | PA      | $422600.97    | 0.01%             | 2045-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2017-K71 Mortgage Trust                                                   | CUSIP: 35708WAS9<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    259000 | PA      | $255393.01    | 0.01%             | 2050-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2018-K733 Mortgage Trust                                                  | CUSIP: 35708YAU0<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1969942.60   | 0.05%             | 2051-02-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                   | Frontier Issuer LLC                                                             | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    607000 | PA      | $625831.63    | 0.02%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| GCAT                                                  | GCAT 2019-NQM2 Trust                                                            | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1061733 | PA      | $1047439.32   | 0.03%             | 2060-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13927 | PA      | $12814.66     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116852 | PA      | $107521.57    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22515 | PA      | $20688.82     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7822 | PA      | $7293.72      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19896 | PA      | $19235.09     | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442448 | PA      | $412208.28    | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298223 | PA      | $277840.40    | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138795 | PA      | $129501.48    | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156444 | PA      | $145749.43    | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36755 | PA      | $33544.71     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32808 | PA      | $29880.63     | 0.00%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121846 | PA      | $113518.25    | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205276 | PA      | $191202.99    | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125917 | PA      | $116493.03    | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278269 | PA      | $253253.05    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373766 | PA      | $360741.91    | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37628 | PA      | $35032.71     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144419 | PA      | $131729.01    | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49743 | PA      | $45331.12     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103970 | PA      | $100113.39    | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7206 | PA      | $7146.34      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357650 | PA      | $343440.71    | 0.01%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1236894 | PA      | $1227095.34   | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    948137 | PA      | $913816.22    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156778 | PA      | $155903.24    | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189389 | PA      | $172242.98    | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1574824 | PA      | $1456830.62   | 0.04%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579565 | PA      | $558271.88    | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298783 | PA      | $287698.01    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121771 | PA      | $117230.71    | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81598 | PA      | $78540.51     | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1273820 | PA      | $1225857.01   | 0.03%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89916 | PA      | $86275.37     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281950 | PA      | $279999.11    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132664 | PA      | $127883.59    | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14862 | PA      | $14712.28     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101385 | PA      | $103077.47    | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338401 | PA      | $335528.95    | 0.01%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65908 | PA      | $66764.74     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    567919 | PA      | $492953.69    | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129949 | PA      | $132119.77    | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3290188 | PA      | $3049096.79   | 0.08%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105949 | PA      | $101847.32    | 0.00%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126296 | PA      | $128353.66    | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91372 | PA      | $84662.46     | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245055 | PA      | $242899.14    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489169 | PA      | $497965.96    | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    899403 | PA      | $833075.78    | 0.02%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204792 | PA      | $208086.26    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436650 | PA      | $432617.89    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298968 | PA      | $303322.79    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492978 | PA      | $488603.73    | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351355 | PA      | $356793.96    | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685191 | PA      | $657119.72    | 0.02%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443528 | PA      | $439341.93    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210535 | PA      | $201778.88    | 0.01%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    909492 | PA      | $900908.21    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176045 | PA      | $168619.37    | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204145 | PA      | $207724.26    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205899 | PA      | $209339.24    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252555 | PA      | $218121.24    | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1078532 | PA      | $893501.50    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4125488 | PA      | $3561782.50   | 0.10%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5696486 | PA      | $5125121.40   | 0.14%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181794 | PA      | $184825.06    | 0.00%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306009 | PA      | $293108.04    | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679895 | PA      | $673025.21    | 0.02%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95088 | PA      | $94014.25     | 0.00%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1030761 | PA      | $1018909.48   | 0.03%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491252 | PA      | $486933.02    | 0.01%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127026 | PA      | $125572.70    | 0.00%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179W2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1937578 | PA      | $1779264.29   | 0.05%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179W5E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1048286 | PA      | $999252.71    | 0.03%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    958535 | PA      | $941331.12    | 0.03%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375189 | PA      | $357601.00    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53441 | PA      | $48080.43     | 0.00%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469219 | PA      | $422155.58    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7167469 | PA      | $6185784.45   | 0.17%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3869177 | PA      | $3481093.59   | 0.09%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1771295 | PA      | $1528683.68   | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450934 | PA      | $405704.71    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279766 | PA      | $241446.62    | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134244 | PA      | $120779.05    | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48559 | PA      | $49051.80     | 0.00%             | 2051-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1747704 | PA      | $1572407.45   | 0.04%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623964 | PA      | $561857.05    | 0.02%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3070417 | PA      | $2762450.59   | 0.07%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1445204 | PA      | $1469608.78   | 0.04%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70082 | PA      | $60749.87     | 0.00%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1806296 | PA      | $1718265.16   | 0.05%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    285927 | PA      | $246998.90    | 0.01%             | 2052-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1063503 | PA      | $1043756.24   | 0.03%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537066 | PA      | $538533.20    | 0.01%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    810727 | PA      | $812547.26    | 0.02%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    529834 | PA      | $477041.11    | 0.01%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1136356 | PA      | $1138207.11   | 0.03%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1228183 | PA      | $1251567.78   | 0.03%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    795680 | PA      | $716564.41    | 0.02%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1201412 | PA      | $1101950.21   | 0.03%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151086 | PA      | $151370.61    | 0.00%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    367476 | PA      | $330776.63    | 0.01%             | 2053-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1788118 | PA      | $1790565.78   | 0.05%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    668907 | PA      | $578739.99    | 0.02%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77598 | PA      | $71360.52     | 0.00%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76949 | PA      | $76995.02     | 0.00%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XX35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163456 | PA      | $155732.26    | 0.00%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699403 | PA      | $699354.62    | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145953 | PA      | $132240.75    | 0.00%             | 2053-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179YFE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13664208 | PA      | $11805396.99  | 0.32%             | 2053-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179YKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3993966 | PA      | $3453179.16   | 0.09%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154188 | PA      | $141642.53    | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142596 | PA      | $130993.97    | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617F25R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895338 | PA      | $881412.81    | 0.02%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617FRAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    965185 | PA      | $1018595.03   | 0.03%             | 2072-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617HX4G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1324501 | PA      | $1237974.89   | 0.03%             | 2048-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102118 | PA      | $92990.25     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68224 | PA      | $65070.25     | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474775 | PA      | $452827.55    | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617LAZA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381471 | PA      | $381757.70    | 0.01%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617LCEY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107858 | PA      | $108244.80    | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617LWTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204265 | PA      | $201076.10    | 0.01%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58170 | PA      | $54404.01     | 0.00%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52553 | PA      | $50125.09     | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25227 | PA      | $24056.81     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56525 | PA      | $53913.54     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MJGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391454 | PA      | $370684.86    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MJGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    658327 | PA      | $622823.59    | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189116 | PA      | $172910.43    | 0.00%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476575 | PA      | $407328.90    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3617MN3S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129294 | PA      | $114956.66    | 0.00%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    498378 | PA      | $442769.44    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334729 | PA      | $286190.68    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MSZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895805 | PA      | $805253.58    | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MW7E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    771017 | PA      | $699741.19    | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617Q2CM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291637 | PA      | $258380.42    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617QY2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83251 | PA      | $74012.38     | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236449 | PA      | $202603.62    | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617VUD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1235094 | PA      | $1295801.01   | 0.03%             | 2071-08-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    595563 | PA      | $522631.91    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XVY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    861994 | PA      | $814715.26    | 0.02%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XW7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292043 | PA      | $262520.91    | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1214838 | PA      | $1270799.27   | 0.03%             | 2072-02-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1026422 | PA      | $1075194.56   | 0.03%             | 2072-03-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1258901 | PA      | $1316394.67   | 0.04%             | 2072-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1180466 | PA      | $1235305.96   | 0.03%             | 2072-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617Y5UR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295190 | PA      | $280119.57    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    575910 | PA      | $523154.05    | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125884 | PA      | $111527.09    | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617YMMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481795 | PA      | $433091.14    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105066 | PA      | $94444.40     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36180BAT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42881 | PA      | $42408.00     | 0.00%             | 2032-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                  | GMACM Mortgage Loan Trust 2005-AR3                                              | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22048 | PA      | $20938.77     | 0.00%             | 2035-06-19      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| General Motors                                        | GMF Floorplan Owner Revolving Trust                                             | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2514000 | PA      | $2551625.53   | 0.07%             | 2029-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618AWYA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    726040 | PA      | $740730.38    | 0.02%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618AWYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1014608 | PA      | $1035136.70   | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618BDHW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    771286 | PA      | $794566.34    | 0.02%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618BJF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    591675 | PA      | $588809.90    | 0.02%             | 2063-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618BJF98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    545870 | PA      | $555330.35    | 0.01%             | 2063-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618F6U79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    882052 | PA      | $908677.19    | 0.02%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618JHTU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1132750 | PA      | $1156368.17   | 0.03%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618JJQ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1077807 | PA      | $1078564.46   | 0.03%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2013-PEMB                                     | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-MBS          | CORP              | US        |   3810000 | PA      | $2919886.85   | 0.08%             | 2033-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36202CS61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        40 | PA      | $40.09        | 0.00%             | 2026-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       300 | PA      | $301.08       | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36202CTT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        68 | PA      | $68.25        | 0.00%             | 2027-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36206JBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        83 | PA      | $83.28        | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36206JCE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       139 | PA      | $140.25       | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36208HR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       249 | PA      | $251.57       | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36209CR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       125 | PA      | $126.61       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36209JCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       337 | PA      | $339.11       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       343 | PA      | $348.81       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1763 | PA      | $1857.72      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                               | GSR Mortgage Loan Trust 2004-6F                                                 | CUSIP: 36228F2E5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11742 | PA      | $11382.53     | 0.00%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                               | GSR Mortgage Loan Trust 2004-6F                                                 | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33460 | PA      | $34094.84     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151113 | PA      | $139171.96    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93261 | PA      | $86887.42     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59624 | PA      | $54292.64     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289314 | PA      | $273451.51    | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    576053 | PA      | $510030.18    | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047341 | PA      | $971882.19    | 0.03%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492096 | PA      | $403371.62    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442618 | PA      | $366103.74    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109062 | PA      | $89602.78     | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    703831 | PA      | $580425.27    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    429909 | PA      | $350794.32    | 0.01%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    947799 | PA      | $927109.83    | 0.02%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375387 | PA      | $377261.64    | 0.01%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    854794 | PA      | $835615.87    | 0.02%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    593073 | PA      | $511709.72    | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345740 | PA      | $296465.94    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535846 | PA      | $460301.13    | 0.01%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3622ABDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226550 | PA      | $205683.58    | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1255593 | PA      | $1078574.56   | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396361 | PA      | $340481.67    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413493 | PA      | $354296.27    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206556 | PA      | $177434.09    | 0.00%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278796 | PA      | $239075.93    | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1231065 | PA      | $1052582.66   | 0.03%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348340 | PA      | $299228.47    | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1727370 | PA      | $1540969.38   | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356469 | PA      | $317245.85    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334635 | PA      | $299743.23    | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426249 | PA      | $380526.92    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553003 | PA      | $491231.61    | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    551778 | PA      | $494637.64    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780632 | PA      | $698815.51    | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABWK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1759278 | PA      | $1572732.36   | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238462 | PA      | $214186.15    | 0.01%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AC5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1065433 | PA      | $1085417.08   | 0.03%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACA67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394818 | PA      | $375285.01    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3622ACCD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    678173 | PA      | $712608.64    | 0.02%             | 2042-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672397 | PA      | $676181.06    | 0.02%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACEG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430718 | PA      | $436253.18    | 0.01%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385009 | PA      | $387175.77    | 0.01%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690097 | PA      | $619483.85    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    953699 | PA      | $972995.32    | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1368210 | PA      | $1412442.41   | 0.04%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36241KYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8875 | PA      | $9495.22      | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                               | GSR Mortgage Loan Trust 2004-13F                                                | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6563 | PA      | $6427.24      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2017-GS6                                           | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1291000 | PA      | $1276756.53   | 0.03%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2019-GC42                                          | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1733000 | PA      | $1636355.62   | 0.04%             | 2052-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2020-GC47                                          | CUSIP: 36258RBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235000 | PA      | $1135871.37   | 0.03%             | 2053-05-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust 2021-PJ7                                    | CUSIP: 36262CAB6<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    828876 | PA      | $691723.08    | 0.02%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust 2021-PJ8                                    | CUSIP: 36262WAB2<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   1131500 | PA      | $944272.17    | 0.03%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust 2021-PJ9                                    | CUSIP: 36263CAB5<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   1287720 | PA      | $1074642.66   | 0.03%             | 2052-02-26      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                 | Haleon US Capital LLC                                                           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    590000 | PA      | $585672.37    | 0.02%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                 | Haleon US Capital LLC                                                           | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    640000 | PA      | $608827.11    | 0.02%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2021-ROSS                                     | CUSIP: 36264YAA8<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |   2970000 | PA      | $2821596.53   | 0.08%             | 2026-05-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAB3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    279000 | PA      | $284157.42    | 0.01%             | 2031-01-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    273000 | PA      | $283630.02    | 0.01%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2023-3                                        | CUSIP: 36267PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523000 | PA      | $527575.47    | 0.01%             | 2029-05-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                     | GLS Auto Select Receivables Trust 2023-2                                        | CUSIP: 36269EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4318365.08   | 0.12%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                 | GM Financial Automobile Leasing Trust 2024-1                                    | CUSIP: 36269FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    472196 | PA      | $473262.19    | 0.01%             | 2027-03-22      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2025-1                                        | CUSIP: 36271KAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5070107.50   | 0.14%             | 2030-11-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36290UE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22548 | PA      | $23341.73     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36295R2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    437089 | PA      | $462474.15    | 0.01%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36295RMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230612 | PA      | $244632.26    | 0.01%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36295VE39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386019 | PA      | $406632.75    | 0.01%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36295VFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385000 | PA      | $407365.74    | 0.01%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36296LQK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3057 | PA      | $3179.41      | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    216595 | PA      | $184246.09    | 0.00%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., LLC                    | Galton Funding Mortgage Trust 2017-1                                            | CUSIP: 36416UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82945 | PA      | $73721.75     | 0.00%             | 2056-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                 | General Dynamics Corp                                                           | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45822.25     | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                 | CUSIP: 37045XFG6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    263000 | PA      | $273841.18    | 0.01%             | 2032-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                   | Gilead Sciences Inc                                                             | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159929.44    | 0.00%             | 2026-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                   | Gilead Sciences Inc                                                             | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   2386000 | PA      | $1765092.46   | 0.05%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399597.17    | 0.01%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    750000 | PA      | $687213.51    | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1065687.57   | 0.03%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    236000 | PA      | $225035.68    | 0.01%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     48000 | PA      | $44527.21     | 0.00%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     92000 | PA      | $82452.41     | 0.00%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     91000 | PA      | $93077.19     | 0.00%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $4025425.33   | 0.11%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2024-2                                        | CUSIP: 37964VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4545000 | PA      | $4637556.65   | 0.12%             | 2030-02-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2025-2                                        | CUSIP: 37989BAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5600000 | PA      | $5660800.88   | 0.15%             | 2031-01-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2025-3                                        | CUSIP: 37989YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2970000 | PA      | $2965340.96   | 0.08%             | 2031-06-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2096000 | PA      | $2222779.31   | 0.06%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2780000 | PA      | $2955582.63   | 0.08%             | 2035-04-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1381930.85   | 0.04%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    887000 | PA      | $891748.40    | 0.02%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB86<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    738000 | PA      | $738234.82    | 0.02%             | 2045-11-19      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3113628.75   | 0.08%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    850000 | PA      | $859089.63    | 0.02%             | 2056-01-28      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1398000 | PA      | $1443920.71   | 0.04%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    680000 | PA      | $675050.50    | 0.02%             | 2036-10-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1379596.44   | 0.04%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    810000 | PA      | $733971.66    | 0.02%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44736.07     | 0.00%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1783703.40   | 0.05%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    215000 | PA      | $198634.06    | 0.01%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $375868.08    | 0.01%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    250000 | PA      | $193171.69    | 0.01%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     95000 | PA      | $85083.10     | 0.00%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    580000 | PA      | $425349.93    | 0.01%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    195000 | PA      | $191702.07    | 0.01%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1010939.37   | 0.03%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    301000 | PA      | $296305.28    | 0.01%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1511000 | PA      | $1391971.84   | 0.04%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    270000 | PA      | $268500.88    | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $359677.94    | 0.01%             | 2038-10-31      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                       | Goodgreen 2017-1 Trust                                                          | CUSIP: 38217VAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |     22897 | PA      | $21211.66     | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                       | Goodgreen 2019-2                                                                | CUSIP: 38218EAA5<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    175514 | PA      | $151654.87    | 0.00%             | 2055-04-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                       | Goodgreen 2017-2 Trust                                                          | CUSIP: 38218QAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |     94268 | PA      | $86089.46     | 0.00%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust             | GoodLeap Home Improvement Solutions Trust 2025-3                                | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5968458 | PA      | $5983227.74   | 0.16%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust      | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1042901 | PA      | $918070.99    | 0.02%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN THREE                                  | Goodman US Finance Three LLC                                                    | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |     43000 | PA      | $42555.91     | 0.00%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 383739LD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58494 | PA      | $60076.78     | 0.00%             | 2031-03-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16446 | PA      | $702.92       | 0.00%             | 2039-07-16      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19248 | PA      | $2196.20      | 0.00%             | 2038-01-16      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4422 | PA      | $4826.02      | 0.00%             | 2034-04-16      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374NPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344628 | PA      | $368724.40    | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24896 | PA      | $1528.89      | 0.00%             | 2039-04-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7449 | PA      | $125.64       | 0.00%             | 2039-03-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13297 | PA      | $2896.68      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17804 | PA      | $3998.23      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64702 | PA      | $64700.09     | 0.00%             | 2063-02-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36750 | PA      | $36709.66     | 0.00%             | 2061-08-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2493 | PA      | $2378.42      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375BXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32936 | PA      | $32819.55     | 0.00%             | 2062-10-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74257 | PA      | $7228.15      | 0.00%             | 2037-08-20      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23342 | PA      | $2341.89      | 0.00%             | 2037-07-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19589 | PA      | $1933.66      | 0.00%             | 2037-11-20      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11698 | PA      | $1046.09      | 0.00%             | 2038-06-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59065 | PA      | $59100.91     | 0.00%             | 2064-07-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32642 | PA      | $32884.77     | 0.00%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379191 | PA      | $14420.01     | 0.00%             | 2067-11-20      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7044 | PA      | $563.19       | 0.00%             | 2039-02-16      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375Y6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22346 | PA      | $1869.87      | 0.00%             | 2039-02-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12374 | PA      | $10428.54     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56740 | PA      | $4177.62      | 0.00%             | 2038-02-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376JJB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236000 | PA      | $240270.68    | 0.01%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376R5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77639 | PA      | $77690.34     | 0.00%             | 2067-06-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376R5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27303 | PA      | $27239.53     | 0.00%             | 2067-05-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116180 | PA      | $116054.71    | 0.00%             | 2065-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376RLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151361 | PA      | $151635.04    | 0.00%             | 2065-11-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29611 | PA      | $29783.01     | 0.00%             | 2066-12-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17056 | PA      | $18563.52     | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32422 | PA      | $2743.25      | 0.00%             | 2041-05-20      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2911612 | PA      | $7101.42      | 0.00%             | 2048-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378KSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2114311 | PA      | $20619.82     | 0.00%             | 2053-12-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264811 | PA      | $246623.50    | 0.01%             | 2047-11-16      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378MVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214784 | PA      | $29942.60     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3362 | PA      | $3246.28      | 0.00%             | 2048-06-16      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378TPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130862 | PA      | $118407.97    | 0.00%             | 2042-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378WRW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204477 | PA      | $192037.13    | 0.01%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96305 | PA      | $98925.35     | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    835579 | PA      | $20673.65     | 0.00%             | 2057-04-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    857039 | PA      | $16832.77     | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379UN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2265891 | PA      | $92111.66     | 0.00%             | 2056-09-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674659 | PA      | $79893.57     | 0.00%             | 2046-02-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1002539 | PA      | $193307.18    | 0.01%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379525 | PA      | $48092.87     | 0.00%             | 2046-10-16      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380AP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263216 | PA      | $225040.05    | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    567555 | PA      | $16381.21     | 0.00%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380KSV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39037 | PA      | $36991.31     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84890 | PA      | $84699.46     | 0.00%             | 2068-07-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24836 | PA      | $24866.76     | 0.00%             | 2069-08-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1446068 | PA      | $80997.02     | 0.00%             | 2060-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1330424 | PA      | $1059974.63   | 0.03%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95383 | PA      | $95064.84     | 0.00%             | 2070-07-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305273 | PA      | $303851.37    | 0.01%             | 2070-07-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380QGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78819 | PA      | $78424.94     | 0.00%             | 2070-07-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1637308 | PA      | $90266.90     | 0.00%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1938866 | PA      | $112418.93    | 0.00%             | 2062-10-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2037892 | PA      | $136017.91    | 0.00%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380RNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160609 | PA      | $120119.34    | 0.00%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2053756 | PA      | $118046.82    | 0.00%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3440390 | PA      | $215650.19    | 0.01%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3902947 | PA      | $269748.68    | 0.01%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4906246 | PA      | $232679.19    | 0.01%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2518839 | PA      | $102324.32    | 0.00%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4531274 | PA      | $243960.62    | 0.01%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4235756 | PA      | $3335355.47   | 0.09%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $643602.15    | 0.02%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1070063 | PA      | $57864.29     | 0.00%             | 2065-07-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1031618 | PA      | $63216.02     | 0.00%             | 2064-07-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $433632.72    | 0.01%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382DF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478011 | PA      | $467851.92    | 0.01%             | 2048-03-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    583478 | PA      | $109315.55    | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225257 | PA      | $43430.80     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    749207 | PA      | $107904.41    | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216511 | PA      | $31011.57     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301191 | PA      | $44813.08     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307345 | PA      | $44406.60     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197036 | PA      | $28211.91     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1081319 | PA      | $152141.24    | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321380 | PA      | $46354.18     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4435017 | PA      | $632860.56    | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2206785 | PA      | $257690.89    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1218636 | PA      | $215145.24    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382Q2F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98079 | PA      | $78400.78     | 0.00%             | 2050-07-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407057 | PA      | $75286.01     | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383CRU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55790 | PA      | $45607.05     | 0.00%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383FHR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    850259 | PA      | $763224.89    | 0.02%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    716057 | PA      | $608431.78    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1364753.10   | 0.04%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383R7N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $253532.46    | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38385B5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24803033 | PA      | $23474768.32  | 0.63%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8793791 | PA      | $8132105.53   | 0.22%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                      | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807000 | PA      | $722027.58    | 0.02%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| WW GRAINGER INC                                       | WW Grainger Inc                                                                 | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |     77000 | PA      | $69495.46     | 0.00%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                    | Granite Park Equipment Leasing 2023-1 LLC                                       | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029192 | PA      | $1037632.95   | 0.03%             | 2032-09-20      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                              | Graphic Packaging International LLC                                             | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    284000 | PA      | $281408.58    | 0.01%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                 | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    372000 | PA      | $367655.07    | 0.01%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                              | Greensaif Pipelines Bidco Sarl                                                  | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    338000 | PA      | $368526.62    | 0.01%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE INSURANCE                               | Guardian Life Insurance Co of America/The                                       | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |     21000 | PA      | $17212.14     | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    245000 | PA      | $231527.03    | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $120713.75    | 0.00%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    521000 | PA      | $492100.24    | 0.01%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2435000 | PA      | $2412126.92   | 0.06%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1635000 | PA      | $1687854.15   | 0.05%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1249000 | PA      | $1310961.62   | 0.04%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1351266.66   | 0.04%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2877000 | PA      | $2960562.47   | 0.08%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    550000 | PA      | $543343.36    | 0.01%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                     | Healthpeak OP LLC                                                               | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |    132000 | PA      | $128298.53    | 0.00%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1740000 | PA      | $1718850.87   | 0.05%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $272862.72    | 0.01%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $190214.80    | 0.01%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1985000 | PA      | $1803072.53   | 0.05%             | 2032-11-22      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $219060.21    | 0.01%             | 2044-03-09      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2090000 | PA      | $2156419.32   | 0.06%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    845000 | PA      | $865993.90    | 0.02%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2010000 | PA      | $2070856.33   | 0.06%             | 2031-05-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1095000 | PA      | $1098376.60   | 0.03%             | 2031-11-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1450000 | PA      | $1453965.76   | 0.04%             | 2036-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                              | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    390000 | PA      | $282793.91    | 0.01%             | 2041-09-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                              | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    230000 | PA      | $148260.23    | 0.00%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                          | Hardee's Funding LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2206050 | PA      | $2059962.72   | 0.06%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                       | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    440000 | PA      | $438865.57    | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group Inc/The                      | Hartford Insurance Group Inc/The                                                | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60162.80     | 0.00%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                      | Welltower OP LLC                                                                | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |    125000 | PA      | $139255.07    | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                     | Healthpeak OP LLC                                                               | CUSIP: 42250PAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |     90000 | PA      | $85271.93     | 0.00%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                     | Healthpeak OP LLC                                                               | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |    330000 | PA      | $311658.02    | 0.01%             | 2028-12-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                    | HERO Funding Trust 2016-3                                                       | CUSIP: 42770XAA5<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |     13286 | PA      | $12454.28     | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                    | Hero Funding 2017-3                                                             | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |     60206 | PA      | $56535.72     | 0.00%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                    | HERO Funding Trust 2017-1A                                                      | CUSIP: 42771XAC0<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |     45797 | PA      | $43717.81     | 0.00%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                           | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1840000 | PA      | $1805872.60   | 0.05%             | 2027-12-27      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                          | Hilton Grand Vacations Trust 2025-2                                             | CUSIP: 43285JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2677723 | PA      | $2689180.20   | 0.07%             | 2044-05-25      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     90000 | PA      | $71566.10     | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    320000 | PA      | $314850.15    | 0.01%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    235000 | PA      | $171516.66    | 0.00%             | 2052-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076DB5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    226000 | PA      | $229821.68    | 0.01%             | 2027-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    592000 | PA      | $605487.53    | 0.02%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                        | Home Partners of America 2020-2 Trust                                           | CUSIP: 437301AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    796455 | PA      | $751113.86    | 0.02%             | 2041-01-17      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                               | Honeywell International Inc                                                     | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1096311.55   | 0.03%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                 | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    712000 | PA      | $746748.33    | 0.02%             | 2029-08-21      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                 | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    780000 | PA      | $802582.58    | 0.02%             | 2031-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                          | Huntington Bank Auto Credit-Linked Notes Series 2025-2                          | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7390442 | PA      | $7438084.05   | 0.20%             | 2033-09-20      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197740.79    | 0.01%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    130000 | PA      | $126126.29    | 0.00%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114945.23    | 0.00%             | 2026-01-08      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    215000 | PA      | $205087.27    | 0.01%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44476.71     | 0.00%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ACG0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1289199.94   | 0.03%             | 2026-06-26      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| IDENTITY DIGITAL CAP LLC                              | IDENTITY DIGITAL CAP LLC                                                        | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $5456700.00   | 0.15%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                            | Impac Secured Assets Trust 2006-1                                               | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3790 | PA      | $3677.57      | 0.00%             | 2036-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                       | Impac CMB Trust Series 2007-A                                                   | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    721458 | PA      | $691801.09    | 0.02%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                          | ING Groep NV                                                                    | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $199889.44    | 0.01%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    590000 | PA      | $419840.08    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    800000 | PA      | $511073.46    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $27934.50     | 0.00%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    800000 | PA      | $491945.70    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93095.75     | 0.00%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                              | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAH7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    230000 | PA      | $191659.58    | 0.01%             | 2048-09-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                              | International Flavors & Fragrances Inc                                          | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $2003110.75   | 0.05%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                            | Intuit Inc                                                                      | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    350000 | PA      | $365909.91    | 0.01%             | 2033-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                            | Intuit Inc                                                                      | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108342.14    | 0.00%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                     | ITC Holdings Corp                                                               | CUSIP: 465685AH8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1352530.64   | 0.04%             | 2043-07-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                     | ITC Holdings Corp                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94389.22     | 0.00%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                   | CUSIP: 46590KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273197 | PA      | $271426.33    | 0.01%             | 2049-01-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2016-C2                              | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2321000 | PA      | $2287585.49   | 0.06%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                   | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923000 | PA      | $912182.72    | 0.02%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                              | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    320000 | PA      | $329897.60    | 0.01%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2017-5                                                 | CUSIP: 46590YAB0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2389246 | PA      | $2412400.66   | 0.06%             | 2048-10-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2020-2                                                 | CUSIP: 46591TAC8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     32598 | PA      | $29231.53     | 0.00%             | 2050-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2020-7                                                 | CUSIP: 46591XAC9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    147713 | PA      | $128066.97    | 0.00%             | 2051-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-1                                                 | CUSIP: 46592EAC0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    256386 | PA      | $213961.84    | 0.01%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-12                                                | CUSIP: 46592WAC0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1193161 | PA      | $995730.41    | 0.03%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-13                                                | CUSIP: 46592XAC8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1194800 | PA      | $997098.18    | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2006-A2                                                | CUSIP: 466247K93<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      3141 | PA      | $3052.60      | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                  | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111976 | PA      | $102938.49    | 0.00%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-1                                                          | CUSIP: 46643UDP1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     70942 | PA      | $70618.04     | 0.00%             | 2044-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2015-4                                                 | CUSIP: 46644VBQ8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     93468 | PA      | $87571.00     | 0.00%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-5                                                          | CUSIP: 46644XBD3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      4366 | PA      | $4334.30      | 0.00%             | 2045-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GBA5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     92549 | PA      | $83183.96     | 0.00%             | 2045-10-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2016-C4                              | CUSIP: 46646RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $609612.15    | 0.02%             | 2049-12-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2017-1                                                 | CUSIP: 46648CAY0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    294732 | PA      | $270220.75    | 0.01%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2017-C7                              | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366000 | PA      | $361121.44    | 0.01%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2018-4                                                 | CUSIP: 46649CAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    277866 | PA      | $250948.41    | 0.01%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                  | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5130000 | PA      | $25650.00     | 0.00%             | 2036-12-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-10                                                | CUSIP: 46654AAC3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    547730 | PA      | $457098.02    | 0.01%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-11                                                | CUSIP: 46654KAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    922360 | PA      | $770891.42    | 0.02%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                                 | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $525744.30    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                                 | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1245323.40   | 0.03%             | 2055-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                              | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2629000 | PA      | $2671478.62   | 0.07%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                              | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    551000 | PA      | $548400.13    | 0.01%             | 2056-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                              | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2295000 | PA      | $2285077.57   | 0.06%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                              | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    381000 | PA      | $420928.88    | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                               | Jersey Central Power & Light Co                                                 | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32446.63     | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                               | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    430000 | PA      | $434829.70    | 0.01%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                                | John Deere Owner Trust 2023-B                                                   | CUSIP: 477920AD4<br>LEI: 549300MS3JZB0OWONQ39 | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1115041.95   | 0.03%             | 2030-05-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                     | Johnson & Johnson                                                               | CUSIP: 478160CR3<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $979753.97    | 0.03%             | 2040-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Jonah Energy LLC                                      | Jonah Energy Abs I LLC                                                          | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |    262392 | PA      | $266004.92    | 0.01%             | 2037-12-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                          | KBC Group NV                                                                    | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    520000 | PA      | $567043.21    | 0.02%             | 2034-09-21      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                          | KBC Group NV                                                                    | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    670000 | PA      | $682534.47    | 0.02%             | 2030-10-16      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                          | KBC Group NV                                                                    | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   4800000 | PA      | $4787708.93   | 0.13%             | 2031-09-23      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                              | KLA Corp                                                                        | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    150000 | PA      | $104130.25    | 0.00%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                              | KLA Corp                                                                        | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    520000 | PA      | $527578.72    | 0.01%             | 2032-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                          | Evergy Metro Inc                                                                | CUSIP: 485134BR0<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40862.94     | 0.00%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                               | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   2050000 | PA      | $1937010.05   | 0.05%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                               | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    800000 | PA      | $816430.31    | 0.02%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                            | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    930000 | PA      | $948979.94    | 0.03%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                               | KeyCorp                                                                         | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54971.29     | 0.00%             | 2033-06-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                               | KeyCorp                                                                         | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1504575.29   | 0.04%             | 2031-04-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                               | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    440000 | PA      | $421514.13    | 0.01%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                     | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    550000 | PA      | $531751.70    | 0.01%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                     | Kinder Morgan Inc                                                               | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63906.22     | 0.00%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                     | Kinder Morgan Inc                                                               | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    315000 | PA      | $324138.57    | 0.01%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                  | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    153000 | PA      | $126396.30    | 0.00%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                  | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182654.23    | 0.00%             | 2039-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                             | Kroger Co/The                                                                   | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17927.17     | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                             | Kroger Co/The                                                                   | CUSIP: 501044DP3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    500000 | PA      | $460003.63    | 0.01%             | 2030-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                             | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    460000 | PA      | $462541.14    | 0.01%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                             | Kroger Co/The                                                                   | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    350000 | PA      | $333305.39    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LSEG FINANCE PLC                                      | LSEG Finance PLC                                                                | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $454373.11    | 0.01%             | 2028-04-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                       | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    297000 | PA      | $309338.84    | 0.01%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                       | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1123646.04   | 0.03%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                | Lending Funding Trust 2020-2                                                    | CUSIP: 51507KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1003119 | PA      | $987792.04    | 0.03%             | 2031-04-21      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                | Lending Funding Trust 2020-2                                                    | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $987867.10    | 0.03%             | 2031-04-21      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ENI USA INC                                           | Eni USA Inc                                                                     | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $52841.09     | 0.00%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1232646.90   | 0.03%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    150000 | PA      | $158936.59    | 0.00%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAK1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    862000 | PA      | $896572.66    | 0.02%             | 2032-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAL9<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1173000 | PA      | $1219037.00   | 0.03%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                | Lendmark Funding Trust 2021-1                                                   | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4600000 | PA      | $4411902.78   | 0.12%             | 2031-11-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                        | Eli Lilly & Co                                                                  | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $189367.70    | 0.01%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                        | Eli Lilly & Co                                                                  | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $212896.62    | 0.01%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    245000 | PA      | $242768.21    | 0.01%             | 2027-05-11      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1285000 | PA      | $1352841.69   | 0.04%             | 2035-01-05      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1180000 | PA      | $1195858.16   | 0.03%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    420000 | PA      | $440179.88    | 0.01%             | 2030-06-05      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2720000 | PA      | $2691085.72   | 0.07%             | 2036-11-04      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                  | Lockheed Martin Corp                                                            | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    640000 | PA      | $627319.33    | 0.02%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                  | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1262731.12   | 0.03%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                        | Long Beach Mortgage Loan Trust 2004-1                                           | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13925 | PA      | $13792.89     | 0.00%             | 2034-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                  | M&T Bank Corp                                                                   | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   2565000 | PA      | $2633291.41   | 0.07%             | 2031-07-08      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                      | MASTR Asset Securitization Trust 2003-11                                        | CUSIP: 55265K2U2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30363 | PA      | $30064.75     | 0.00%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                      | MASTR Asset Securitization Trust 2003-12                                        | CUSIP: 55265K4B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        76 | PA      | $0.00         | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                            | MFA 2020-NQM1 Trust                                                             | CUSIP: 552754AC7<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    258299 | PA      | $251271.56    | 0.01%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust           | MF1 2022-FL10 LLC                                                               | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    757156 | PA      | $758106.57    | 0.02%             | 2037-09-17      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| MNR ABS ISSUER I LLC                                  | MNR ABS ISSUER I LLC                                                            | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   2024911 | PA      | $2079279.65   | 0.06%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                               | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    550000 | PA      | $457117.38    | 0.01%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                               | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    470000 | PA      | $431602.65    | 0.01%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                               | MPLX LP                                                                         | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1611901.91   | 0.04%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                   | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $626009.51    | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                   | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987000 | PA      | $723283.67    | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                       | MVW 2019-2 LLC                                                                  | CUSIP: 55400DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85038 | PA      | $84919.07     | 0.00%             | 2038-10-20      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                       | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    778068 | PA      | $800895.58    | 0.02%             | 2040-11-20      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| MA'ADEN SUKUK LTD                                     | Ma'aden Sukuk Ltd                                                               | CUSIP: 55407NAA0<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | CORP              | KY        |    297000 | PA      | $304740.74    | 0.01%             | 2030-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                              | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   1297000 | PA      | $1314794.52   | 0.04%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                              | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    770000 | PA      | $781625.80    | 0.02%             | 2028-03-27      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MANITOBA (PROVINCE OF)                                | Province of Manitoba Canada                                                     | CUSIP: 563469UL7<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | NUSS              | CA        |    660000 | PA      | $654394.86    | 0.02%             | 2026-06-22      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    840000 | PA      | $858448.61    | 0.02%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    740000 | PA      | $760593.93    | 0.02%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2804000 | PA      | $2826474.20   | 0.08%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $1117655.87   | 0.03%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                              | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748CE0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $1032316.94   | 0.03%             | 2044-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                | Marvell Technology Inc                                                          | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360000 | PA      | $333425.92    | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                | Marvell Technology Inc                                                          | CUSIP: 573874AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $396259.99    | 0.01%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                | Marvell Technology Inc                                                          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4602000 | PA      | $4741506.18   | 0.13%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                            | Masco Corp                                                                      | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     80000 | PA      | $87411.91     | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                            | Masco Corp                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     56000 | PA      | $49966.46     | 0.00%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ELECTRIC                                | Massachusetts Electric Co                                                       | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     56000 | PA      | $44172.19     | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                 | MASTR Adjustable Rate Mortgages Trust 2004-13                                   | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4081 | PA      | $4038.30      | 0.00%             | 2034-04-21      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2003-9                                             | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17005 | PA      | $16364.71     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2004-4                                             | CUSIP: 576434QG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6421 | PA      | $3145.39      | 0.00%             | 2024-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2004-6                                             | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37389 | PA      | $37461.92     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2004-7                                             | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2823 | PA      | $2128.83      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2004-8                                             | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33 | PA      | $33.46        | 0.00%             | 2049-12-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                          | Mastr Resecuritization Trust 2005-PO                                            | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4110 | PA      | $3247.12      | 0.00%             | 2035-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                      | MASTR Asset Securitization Trust 2004-6                                         | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        82 | PA      | $81.44        | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MCCORMICK & CO                                        | McCormick & Co Inc/MD                                                           | CUSIP: 579780AQ0<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |    342000 | PA      | $317920.75    | 0.01%             | 2030-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59557.46     | 0.00%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $965992.37    | 0.03%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    500000 | PA      | $402902.59    | 0.01%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC INC                                         | Medtronic Inc                                                                   | CUSIP: 585055BU9<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91520.79     | 0.00%             | 2045-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MEMORIAL HEALTH SERVICES                              | Memorial Health Services                                                        | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |    245000 | PA      | $173964.65    | 0.00%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                           | Merchants Fleet Funding LLC                                                     | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   1267698 | PA      | $1273336.41   | 0.03%             | 2036-05-20      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    220000 | PA      | $176051.45    | 0.00%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    170000 | PA      | $105199.70    | 0.00%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    245000 | PA      | $142398.08    | 0.00%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust            | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4075000 | PA      | $4097273.95   | 0.11%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                           | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1280008.37   | 0.03%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                           | MetLife Inc                                                                     | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     28000 | PA      | $23873.28     | 0.00%             | 2042-08-13      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                        | Microsoft Corp                                                                  | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18264.29     | 0.00%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                        | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $1355419.11   | 0.04%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                        | Microsoft Corp                                                                  | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    820000 | PA      | $537130.20    | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                        | Microsoft Corp                                                                  | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     40000 | PA      | $24917.20     | 0.00%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                                | Mid-America Apartments LP                                                       | CUSIP: 59523UAQ0<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |    230000 | PA      | $228629.25    | 0.01%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                                | Mid-America Apartments LP                                                       | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |    150000 | PA      | $131386.55    | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                 | MidAmerican Energy Co                                                           | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    820000 | PA      | $810272.85    | 0.02%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                 | MidAmerican Energy Co                                                           | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    220000 | PA      | $226315.29    | 0.01%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MYMICHIGAN HEALTH                                     | MyMichigan Health                                                               | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $55475.57     | 0.00%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI HC FIN AMER                                | Mitsubishi HC Finance America LLC                                               | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |    210000 | PA      | $218008.84    | 0.01%             | 2028-09-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    220000 | PA      | $216920.97    | 0.01%             | 2027-07-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    590000 | PA      | $590218.18    | 0.02%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $206121.44    | 0.01%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2380000 | PA      | $2418100.52   | 0.06%             | 2036-09-12      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    220000 | PA      | $208989.43    | 0.01%             | 2030-09-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    255000 | PA      | $252175.60    | 0.01%             | 2027-05-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YCR8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $421040.25    | 0.01%             | 2031-05-27      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1965000 | PA      | $1990370.74   | 0.05%             | 2031-07-08      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   4255000 | PA      | $4371000.36   | 0.12%             | 2036-07-08      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                                  | Monongahela Power Co                                                            | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $147954.41    | 0.00%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                             | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                      | CUSIP: 61690KAK8<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    291527 | PA      | $288991.29    | 0.01%             | 2046-02-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                | Morgan Stanley Bank NA                                                          | CUSIP: 61690U4T4<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    285000 | PA      | $285537.84    | 0.01%             | 2026-04-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2019-L3                                          | CUSIP: 61691UBE8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    555000 | PA      | $528627.51    | 0.01%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    209000 | PA      | $210157.89    | 0.01%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1632114.07   | 0.04%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3530000 | PA      | $3429834.38   | 0.09%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    280000 | PA      | $245910.19    | 0.01%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     85000 | PA      | $73562.38     | 0.00%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     39000 | PA      | $38356.73     | 0.00%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1061000 | PA      | $1102183.65   | 0.03%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1605000 | PA      | $1641127.83   | 0.04%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $180591.08    | 0.00%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124837.96    | 0.00%             | 2034-07-21      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    669000 | PA      | $709078.86    | 0.02%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102656.65    | 0.00%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1271000 | PA      | $1350636.58   | 0.04%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    870000 | PA      | $891998.90    | 0.02%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1214694.05   | 0.03%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    132000 | PA      | $136101.49    | 0.00%             | 2031-04-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    477000 | PA      | $500690.33    | 0.01%             | 2036-04-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1955000 | PA      | $2042946.18   | 0.05%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1390420.48   | 0.04%             | 2031-10-22      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1164598.32   | 0.03%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                             | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                     | CUSIP: 61766EBE4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $537820.45    | 0.01%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2020-1 | Morgan Stanley Residential Mortgage Loan Trust 2020-1                           | CUSIP: 61771QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356115 | PA      | $294710.01    | 0.01%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2021-1                           | CUSIP: 61772AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249829 | PA      | $208490.03    | 0.01%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    265000 | PA      | $207629.20    | 0.01%             | 2042-04-22      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2021-4                           | CUSIP: 61772MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260766 | PA      | $217617.61    | 0.01%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2021-5                           | CUSIP: 61772NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830568 | PA      | $693134.54    | 0.02%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                               | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    393000 | PA      | $398383.14    | 0.01%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL               | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1030000 | PA      | $1029361.40   | 0.03%             | 2039-03-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                                | Mutual of Omaha Cos Global Funding                                              | CUSIP: 62829D2A7<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252497.43    | 0.01%             | 2026-07-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                       | MVW 2023-1 LLC                                                                  | CUSIP: 62848PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    564697 | PA      | $580163.18    | 0.02%             | 2040-10-20      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB                                  | Utah Acquisition Sub Inc                                                        | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    127000 | PA      | $126712.78    | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NMABS Issuer I, LLC.                                  | NMABS Issuer I LLC                                                              | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6538638 | PA      | $6530638.79   | 0.17%             | 2055-11-22      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                       | NGPL PipeCo LLC                                                                 | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $933759.11    | 0.03%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                        | NRG Energy Inc                                                                  | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    110000 | PA      | $109514.38    | 0.00%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                        | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    210000 | PA      | $202937.71    | 0.01%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                        | NRG Energy Inc                                                                  | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   3405000 | PA      | $3409314.14   | 0.09%             | 2030-10-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| NP SPE X LP                                           | NP SPE X LP                                                                     | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1690293 | PA      | $1488522.26   | 0.04%             | 2051-03-19      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                   | NACC Reperforming Loan REMIC Trust 2004-R2                                      | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11609 | PA      | $10045.68     | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAU2<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    370000 | PA      | $280529.39    | 0.01%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HBB3<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    140000 | PA      | $142216.30    | 0.00%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                      | NTT Finance Corp                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   6040000 | PA      | $6197242.76   | 0.17%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453976 | PA      | $448494.35    | 0.01%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                            | Nasdaq Inc                                                                      | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    109000 | PA      | $114465.21    | 0.00%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                          | NNN REIT Inc                                                                    | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |     58000 | PA      | $57758.03     | 0.00%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                          | NNN REIT Inc                                                                    | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    150000 | PA      | $150875.83    | 0.00%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                          | NNN REIT Inc                                                                    | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    150000 | PA      | $156670.27    | 0.00%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                          | NNN REIT Inc                                                                    | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    640000 | PA      | $662369.66    | 0.02%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                               | Nationwide Building Society                                                     | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $525614.10    | 0.01%             | 2029-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                               | Nationwide Building Society                                                     | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   2165000 | PA      | $2134598.98   | 0.06%             | 2030-07-18      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                               | Nationwide Building Society                                                     | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1535000 | PA      | $1585272.68   | 0.04%             | 2036-07-14      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5440000 | PA      | $5064715.62   | 0.14%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32225000 | PA      | $683563.15    | 0.02%             | 2036-08-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    830000 | PA      | $832220.18    | 0.02%             | 2027-03-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    440000 | PA      | $458331.20    | 0.01%             | 2029-09-13      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   7450000 | PA      | $7877348.09   | 0.21%             | 2035-03-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $1020569.98   | 0.03%             | 2030-08-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    690000 | PA      | $708287.07    | 0.02%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                   | NatWest Markets PLC                                                             | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    345000 | PA      | $357923.53    | 0.01%             | 2029-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Student Loan Trust 2016-3                                               | CUSIP: 63940HAC7<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |    848251 | PA      | $860515.46    | 0.02%             | 2065-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                       | Nevada Power Co                                                                 | CUSIP: 641423CC0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98496.08     | 0.00%             | 2029-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                       | Nevada Power Co                                                                 | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    160000 | PA      | $163933.71    | 0.00%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                                  | New England Power Co                                                            | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |     45000 | PA      | $34463.38     | 0.00%             | 2047-12-05      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2014-2                                      | CUSIP: 64828YAR2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    410443 | PA      | $395424.10    | 0.01%             | 2054-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2015-1                                      | CUSIP: 64829CAD0<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |    226998 | PA      | $219472.28    | 0.01%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1369771 | PA      | $1341405.36   | 0.04%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAB0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    779870 | PA      | $759114.55    | 0.02%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAD9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    443265 | PA      | $419119.99    | 0.01%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAM9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1704855 | PA      | $1677586.45   | 0.04%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-1                                      | CUSIP: 64829JAA1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1078850 | PA      | $1057063.46   | 0.03%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KAU4<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    922961 | PA      | $920548.35    | 0.02%             | 2057-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2016-4                                      | CUSIP: 64829LAW8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    998772 | PA      | $981383.39    | 0.03%             | 2056-11-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1042214 | PA      | $1016523.59   | 0.03%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-6                                      | CUSIP: 64830BAA5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   2233289 | PA      | $2182164.12   | 0.06%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2022-SFR1                                   | CUSIP: 64831KAG1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1348293.24   | 0.04%             | 2039-02-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2022-NQM2                                   | CUSIP: 64831MAA0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   2396993 | PA      | $2299615.25   | 0.06%             | 2062-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE                               | New York Life Insurance Co                                                      | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    105000 | PA      | $81795.15     | 0.00%             | 2069-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                              | New York Life Global Funding                                                    | CUSIP: 64952WCH4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64480.36     | 0.00%             | 2026-07-14      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                              | New York Life Global Funding                                                    | CUSIP: 64953BBF4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    845000 | PA      | $854169.16    | 0.02%             | 2026-09-18      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS                               | New York State Electric & Gas Corp                                              | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49633.91     | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                    | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |     30000 | PA      | $30701.81     | 0.00%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    431836 | PA      | $424702.77    | 0.01%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     27000 | PA      | $26839.05     | 0.00%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCQ1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    170000 | PA      | $158263.28    | 0.00%             | 2053-02-28      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2836000 | PA      | $2739282.25   | 0.07%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                  | Niagara Mohawk Power Corp                                                       | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    820000 | PA      | $830651.37    | 0.02%             | 2055-07-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                  | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    250000 | PA      | $226032.21    | 0.01%             | 2030-06-27      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                              | NIKE Inc                                                                        | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    320000 | PA      | $316397.86    | 0.01%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                              | NIKE Inc                                                                        | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    330000 | PA      | $267843.34    | 0.01%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                          | NiSource Inc                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    190000 | PA      | $166726.80    | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                          | NiSource Inc                                                                    | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1134069.19   | 0.03%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                   | Nomura Holdings Inc                                                             | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $184882.08    | 0.00%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                   | Nomura Holdings Inc                                                             | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $834348.14    | 0.02%             | 2028-07-12      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                 | Norfolk Southern Corp                                                           | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58023.24     | 0.00%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                 | Norfolk Southern Corp                                                           | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31041.59     | 0.00%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK                                      | Norinchukin Bank/The                                                            | CUSIP: 656029AQ8<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |   3200000 | PA      | $3244040.10   | 0.09%             | 2035-09-09      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807BH4<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    179000 | PA      | $164916.20    | 0.00%             | 2043-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139106.07    | 0.00%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   3390000 | PA      | $3199137.20   | 0.09%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    729000 | PA      | $681485.14    | 0.02%             | 2054-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MEMORIAL                                 | Northwestern Memorial Healthcare Obligated Group                                | CUSIP: 668103AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    882000 | PA      | $538265.75    | 0.01%             | 2051-07-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                           | Continental Finance Credit Card ABS Master Trust                                | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    598324 | PA      | $600691.93    | 0.02%             | 2030-10-15      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                           | Continental Finance Credit Card ABS Master Trust                                | CUSIP: 66981PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7280000 | PA      | $7313590.65   | 0.20%             | 2035-12-17      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2022-SFR3 Trust                                                            | CUSIP: 66981YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $980455.30    | 0.03%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2021-SFR4 Trust                                                            | CUSIP: 66982FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2335274 | PA      | $2293159.67   | 0.06%             | 2038-12-17      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2021-SFR4 Trust                                                            | CUSIP: 66982FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3725998.42   | 0.10%             | 2038-12-17      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                           | NVIDIA Corp                                                                     | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1161875.63   | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                           | NVIDIA Corp                                                                     | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    660000 | PA      | $482002.63    | 0.01%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| NVENT FINANCE SARL                                    | nVent Finance Sarl                                                              | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |     75000 | PA      | $75420.57     | 0.00%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                            | Nuveen LLC                                                                      | CUSIP: 67080LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $160026.11    | 0.00%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    447664 | PA      | $373583.61    | 0.01%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                               | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAE7<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79905.60     | 0.00%             | 2026-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                               | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     49000 | PA      | $48711.55     | 0.00%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    657616 | PA      | $547146.67    | 0.01%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |   2280183 | PA      | $2067992.47   | 0.06%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |   1478242 | PA      | $1277228.63   | 0.03%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                              | Octane Receivables Trust 2022-2                                                 | CUSIP: 67578XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1439958.80   | 0.04%             | 2030-02-20      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                    | Ohio Power Co                                                                   | CUSIP: 677415CV1<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    345000 | PA      | $349556.90    | 0.01%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ohio State University/The                             | OHIO ST UNIV                                                                    | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |     98000 | PA      | $80786.46     | 0.00%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                               | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    215000 | PA      | $142652.28    | 0.00%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                           | ONE Gas Inc                                                                     | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182940.12    | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                 | OneMain Direct Auto Receivables Trust 2019-1                                    | CUSIP: 68267EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    948879 | PA      | $947598.77    | 0.03%             | 2028-11-14      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    320000 | PA      | $323445.63    | 0.01%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $527055.25    | 0.01%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1095692.97   | 0.03%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1403374.42   | 0.04%             | 2053-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $140743.88    | 0.00%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    256000 | PA      | $253714.02    | 0.01%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    419000 | PA      | $390481.15    | 0.01%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                 | OneMain Direct Auto Receivables Trust 2023-1                                    | CUSIP: 682685AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682000 | PA      | $705901.10    | 0.02%             | 2033-02-14      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                     | ONEOK Partners LP                                                               | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16325.16     | 0.00%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ONESKY CLASS A LOAN TRU                               | OneSky Class A Loan Trust 2021-1                                                | CUSIP: 68278AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    517047 | PA      | $499467.09    | 0.01%             | 2029-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                   | Oportun Issuance Trust 2021-C                                                   | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    505968 | PA      | $497610.15    | 0.01%             | 2031-10-08      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    110000 | PA      | $76250.97     | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    120000 | PA      | $110780.26    | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    450000 | PA      | $333737.01    | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4830000 | PA      | $3008659.02   | 0.08%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1997327.07   | 0.05%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2310000 | PA      | $2075746.92   | 0.06%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    540000 | PA      | $535269.15    | 0.01%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    310000 | PA      | $298341.94    | 0.01%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1539848.14   | 0.04%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1101811.07   | 0.03%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                        | PECO Energy Co                                                                  | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    100000 | PA      | $62583.82     | 0.00%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $155582.78    | 0.00%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $106120.50    | 0.00%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $190997.94    | 0.01%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                        | PHH Alternative Mortgage Trust Series 2007-2                                    | CUSIP: 69337HAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49940 | PA      | $9700.05      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    361000 | PA      | $369348.46    | 0.01%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    671000 | PA      | $759321.70    | 0.02%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    459000 | PA      | $483845.10    | 0.01%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1048205.32   | 0.03%             | 2032-10-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    430000 | PA      | $448326.90    | 0.01%             | 2036-01-29      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2483000 | PA      | $2553728.21   | 0.07%             | 2036-07-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    225000 | PA      | $215571.26    | 0.01%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                           | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635950 | PA      | $569498.43    | 0.02%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                | Pertamina Persero PT                                                            | CUSIP: 69369EAD1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |   1360000 | PA      | $1384703.57   | 0.04%             | 2042-05-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     33000 | PA      | $24969.13     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $43627.77     | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    595000 | PA      | $593516.55    | 0.02%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    230000 | PA      | $172270.76    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    140000 | PA      | $135723.13    | 0.00%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    360000 | PA      | $323985.85    | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    720000 | PA      | $545005.79    | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    180000 | PA      | $121374.21    | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15952.90     | 0.00%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    488000 | PA      | $526257.34    | 0.01%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2890000 | PA      | $3001459.81   | 0.08%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3045000 | PA      | $3130458.44   | 0.08%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2620000 | PA      | $2749158.98   | 0.07%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                        | PEAC Solutions Receivables 2024-1 LLC                                           | CUSIP: 69433BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2562604.50   | 0.07%             | 2030-11-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSURANCE C                              | Pacific Life Insurance Co                                                       | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    134000 | PA      | $107598.72    | 0.00%             | 2067-10-24      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                              | Packaging Corp of America                                                       | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    155000 | PA      | $122870.40    | 0.00%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                              | Packaging Corp of America                                                       | CUSIP: 695156AY5<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1243738.98   | 0.03%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                  | Parker-Hannifin Corp                                                            | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26336.64     | 0.00%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                              | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18616.56     | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PEPPERDINE UNIV                                       | Pepperdine University                                                           | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    110000 | PA      | $69659.68     | 0.00%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                              | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    990000 | PA      | $986933.67    | 0.03%             | 2027-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                              | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    490000 | PA      | $501853.59    | 0.01%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                              | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAF6<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |   2820000 | PA      | $2863980.72   | 0.08%             | 2048-05-21      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                     | Suncor Energy Inc                                                               | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |     79000 | PA      | $87231.56     | 0.00%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                               | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    515000 | PA      | $487641.32    | 0.01%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                            | Pfizer Inc                                                                      | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    760000 | PA      | $473718.51    | 0.01%             | 2050-05-28      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                 | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $245677.66    | 0.01%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                 | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1587463.35   | 0.04%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                 | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1865000 | PA      | $1862400.64   | 0.05%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    810000 | PA      | $741972.74    | 0.02%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                            | DOC DR LLC                                                                      | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              |  | US        |    130000 | PA      | $116878.71    | 0.00%             | 2031-11-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                               | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195498.74    | 0.01%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST III                                 | Pine Street Trust III                                                           | CUSIP: 72284KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1013741.32   | 0.03%             | 2054-05-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                              | Pioneer Natural Resources Co                                                    | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    920000 | PA      | $833236.76    | 0.02%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                              | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   5390000 | PA      | $4888412.64   | 0.13%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                              | Pioneer Natural Resources Co                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159830.34    | 0.00%             | 2026-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                              | Plains All American Pipeline LP                                                 | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1395520.13   | 0.04%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds     | Republic of Poland Government International Bonds                               | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    921000 | PA      | $880782.25    | 0.02%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner Trust                  | Porsche Innovative Lease Owner Trust 2024-1                                     | CUSIP: 73328AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1733000 | PA      | $1739919.35   | 0.05%             | 2027-11-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey               | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    130000 | PA      | $138506.67    | 0.00%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| POTOMAC ELECTRIC POWER                                | Potomac Electric Power Co                                                       | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |     75000 | PA      | $84120.13     | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                               | PowerPay Issuance Trust 2025-1                                                  | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5890480 | PA      | $5906550.64   | 0.16%             | 2041-11-18      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                               | Principal Financial Group Inc                                                   | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    825000 | PA      | $823175.32    | 0.02%             | 2028-02-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                               | Principal Financial Group Inc                                                   | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29498.29     | 0.00%             | 2029-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2022-SFR2 Trust                                            | CUSIP: 74332VAA3<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    533009 | PA      | $524684.22    | 0.01%             | 2027-04-17      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2022-SFR2 Trust                                            | CUSIP: 74332VAJ4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2671116.75   | 0.07%             | 2027-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2025-SFR3 Trust                                            | CUSIP: 74334BAC1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   3690000 | PA      | $3486277.68   | 0.09%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                           | Prologis LP                                                                     | CUSIP: 74340XBQ3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |    150000 | PA      | $80702.50     | 0.00%             | 2050-10-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                           | Prologis LP                                                                     | CUSIP: 74340XBY6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |     95000 | PA      | $90825.36     | 0.00%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                             | Prosus NV                                                                       | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $576013.80    | 0.02%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                             | Prosus NV                                                                       | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   2720000 | PA      | $1881967.10   | 0.05%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                 | PRPM 2024-RCF3 LLC                                                              | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2674530 | PA      | $2649758.80   | 0.07%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                              | Prudential Financial Inc                                                        | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     61000 | PA      | $47961.96     | 0.00%             | 2047-12-07      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                              | Prudential Financial Inc                                                        | CUSIP: 74432QCF0<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    773000 | PA      | $576890.05    | 0.02%             | 2051-03-13      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA                               | Prudential Funding Asia PLC                                                     | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1150301.87   | 0.03%             | 2030-04-14      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                               | Public Service Co of Oklahoma                                                   | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    175000 | PA      | $191794.49    | 0.01%             | 2037-11-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                               | Public Service Co of Oklahoma                                                   | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    280000 | PA      | $287329.09    | 0.01%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                               | Public Service Co of Oklahoma                                                   | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    310000 | PA      | $313351.93    | 0.01%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUB SVC ELEC & GAS                                    | Public Service Electric and Gas Co                                              | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     28000 | PA      | $28388.83     | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                               | Public Service Electric and Gas Co                                              | CUSIP: 74456QCG9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1785000 | PA      | $1168629.66   | 0.03%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                              | Public Service Enterprise Group Inc                                             | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    870000 | PA      | $898763.22    | 0.02%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                      | Puget Energy Inc                                                                | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    650000 | PA      | $667001.51    | 0.02%             | 2035-03-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                   | Quanta Services Inc                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    360000 | PA      | $336947.07    | 0.01%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                   | Quanta Services Inc                                                             | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    270000 | PA      | $237786.79    | 0.01%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                   | Quanta Services Inc                                                             | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1833917.19   | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                    | Province of Quebec Canada                                                       | CUSIP: 748149AJ0<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    730000 | PA      | $726932.83    | 0.02%             | 2026-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                 | Quest Diagnostics Inc                                                           | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16960.05     | 0.00%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2021-1                                                      | CUSIP: 749350AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260951 | PA      | $217771.72    | 0.01%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2021-4                                                      | CUSIP: 74938VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1236428 | PA      | $1031837.86   | 0.03%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2021-6                                                      | CUSIP: 74939KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549354 | PA      | $458453.30    | 0.01%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                            | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1537860.75   | 0.04%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                              | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $596953.78    | 0.02%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                              | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $473405.27    | 0.01%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                              | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   1955000 | PA      | $2000008.50   | 0.05%             | 2031-05-27      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1022974.74   | 0.03%             | 2050-07-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    570000 | PA      | $524799.80    | 0.01%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     90000 | PA      | $76267.67     | 0.00%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    221000 | PA      | $228248.99    | 0.01%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                              | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    460000 | PA      | $410373.91    | 0.01%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                       | Renew 2017-1                                                                    | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     24285 | PA      | $22613.32     | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                 | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    150000 | PA      | $147575.73    | 0.00%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                    | Roche Holdings Inc                                                              | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |    970000 | PA      | $591607.31    | 0.02%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| ROC Securities Trust                                  | Roc Mortgage Trust 2025-RTL1                                                    | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3028668.00   | 0.08%             | 2040-02-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                              | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    955000 | PA      | $962259.98    | 0.03%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                | Roper Technologies Inc                                                          | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1694000 | PA      | $1690301.12   | 0.05%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    283000 | PA      | $283702.94    | 0.01%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1660000 | PA      | $1687924.44   | 0.05%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $219751.70    | 0.01%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                  | Royal Bank of Canada                                                            | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1930000 | PA      | $1874693.19   | 0.05%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                               | SCF Equipment Leasing 2024-1 LLC                                                | CUSIP: 783896AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2558000 | PA      | $2641428.40   | 0.07%             | 2032-09-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SBALR Commercial Mortgage 2020-RR1 Trust              | SBALR Commercial Mortgage 2020-RR1 Trust                                        | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782228 | PA      | $672380.00    | 0.02%             | 2053-02-13      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                          | State Street Institutional US Government Money Market Fund                      | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  28054436 | NS      | $28054436.07  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| SCF Equipment Trust Llc                               | SCF Equipment Leasing 2023-1 LLC                                                | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1508882 | PA      | $1528792.10   | 0.04%             | 2032-05-20      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                               | SCF Equipment Leasing 2023-1 LLC                                                | CUSIP: 784024AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3815000 | PA      | $3971495.12   | 0.11%             | 2033-08-22      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                              | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    233033 | PA      | $231748.07    | 0.01%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                              | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $103838.38    | 0.00%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                              | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1373687.48   | 0.04%             | 2045-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                   | SG Residential Mortgage Trust 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2319413 | PA      | $2224177.99   | 0.06%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                               | SCF Equipment Leasing 2025-1 LLC                                                | CUSIP: 78437DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1032000 | PA      | $1066378.91   | 0.03%             | 2035-11-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                | SLM Private Credit Student Loan Trust 2005-B                                    | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |    380614 | PA      | $371363.63    | 0.01%             | 2039-06-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                | SLM Private Credit Student Loan Trust 2006-A                                    | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |    385606 | PA      | $371685.72    | 0.01%             | 2039-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                | SLC Student Loan Trust 2008-1                                                   | CUSIP: 78444LAD5<br>LEI: 5493007QNQ56NU0MGE13 | Long             | ABS-O            | CORP              | US        |    651398 | PA      | $651875.16    | 0.02%             | 2032-12-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2022-C                                         | CUSIP: 78449CAA6<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   2295461 | PA      | $2289648.45   | 0.06%             | 2050-05-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                      | SLG Office Trust 2021-OVA                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2020000 | PA      | $1800875.05   | 0.05%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2020-A                                         | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    273787 | PA      | $266041.65    | 0.01%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| SMRT                                                  | SMRT 2022-MINI                                                                  | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1740000 | PA      | $1737281.77   | 0.05%             | 2039-01-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                    | STWD 2022-FL3 Ltd                                                               | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    790420 | PA      | $787981.52    | 0.02%             | 2038-11-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLDINGS LLC                              | Safehold GL Holdings LLC                                                        | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              |  | US        |    400000 | PA      | $360304.11    | 0.01%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII              | Citigroup Global Markets Mortgage Securities VII Inc                            | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |        42 | PA      | $41.78        | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII              | Citigroup Global Markets Mortgage Securities VII Inc                            | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |      1828 | PA      | $1808.53      | 0.00%             | 2033-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                       | San Diego Gas & Electric Co                                                     | CUSIP: 797440BF0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72135.56     | 0.00%             | 2035-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                              | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $217540.81    | 0.01%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                              | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    470000 | PA      | $491043.70    | 0.01%             | 2029-01-10      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                              | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2415000 | PA      | $2443846.02   | 0.07%             | 2030-09-11      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                              | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   3015000 | PA      | $3143340.14   | 0.08%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                | Santander Holdings USA Inc                                                      | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1521643.67   | 0.04%             | 2030-01-09      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2022-4                                   | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2515442 | PA      | $2525925.33   | 0.07%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2024-2                                   | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2249000 | PA      | $2320861.62   | 0.06%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2023-6                                   | CUSIP: 80287DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2273887.22   | 0.06%             | 2031-03-17      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2022-5                                   | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5552563.50   | 0.15%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2024-3                                   | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5055000 | PA      | $5204709.39   | 0.14%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2025-1                                   | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672000 | PA      | $682478.50    | 0.02%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2022-6                                   | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5538364.70   | 0.15%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2025-4                                   | CUSIP: 802923AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2215000 | PA      | $2223092.28   | 0.06%             | 2032-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                | Sequoia Mortgage Trust 2020-4                                                   | CUSIP: 81748RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214830 | PA      | $178477.06    | 0.00%             | 2050-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                               | Shell International Finance BV                                                  | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    610000 | PA      | $608078.88    | 0.02%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                  | Shell Finance US Inc                                                            | CUSIP: 822905AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $141476.28    | 0.00%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                  | Shell Finance US Inc                                                            | CUSIP: 822905AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1303076.13   | 0.03%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                    | Siemens Funding BV                                                              | CUSIP: 82622RAC0<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    320000 | PA      | $326559.73    | 0.01%             | 2030-05-28      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                    | Siemens Funding BV                                                              | CUSIP: 82622RAD8<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    404000 | PA      | $416838.78    | 0.01%             | 2032-05-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SIERRA PACIFIC POWER CO                               | Sierra Pacific Power Co                                                         | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |    290000 | PA      | $289044.48    | 0.01%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                     | Sierra Timeshare 2025-1 Receivables Funding LLC                                 | CUSIP: 82653CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2475716 | PA      | $2495634.23   | 0.07%             | 2042-01-21      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURITIZATION I                               | Sigeco Securitization I LLC                                                     | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    221265 | PA      | $226761.62    | 0.01%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                              | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    335000 | PA      | $338064.23    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                              | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    385000 | PA      | $390536.54    | 0.01%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                | Skandinaviska Enskilda Banken AB                                                | CUSIP: 830505BB8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1630000 | PA      | $1685010.94   | 0.05%             | 2029-03-05      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                | Skandinaviska Enskilda Banken AB                                                | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1660000 | PA      | $1666933.80   | 0.04%             | 2030-09-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                              | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1580000 | PA      | $1589595.28   | 0.04%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs     | United States Small Business Administration                                     | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    150059 | PA      | $140930.83    | 0.00%             | 2039-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs     | United States Small Business Administration                                     | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    286446 | PA      | $257503.72    | 0.01%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1236150 | PA      | $1139160.43   | 0.03%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    472780 | PA      | $461695.22    | 0.01%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FIN                                  | Smurfit Westrock Financing DAC                                                  | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |   1505000 | PA      | $1549618.78   | 0.04%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    215000 | PA      | $212707.05    | 0.01%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $452514.36    | 0.01%             | 2032-06-09      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3970000 | PA      | $3621089.72   | 0.10%             | 2033-01-21      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1208000 | PA      | $1221728.03   | 0.03%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4045000 | PA      | $4274024.62   | 0.11%             | 2033-04-13      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4286000 | PA      | $4417665.06   | 0.12%             | 2031-05-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RCK6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $1002174.17   | 0.03%             | 2036-10-03      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                        | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1467093.90   | 0.04%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400EZ2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $80225.37     | 0.00%             | 2036-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79528.78     | 0.00%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79077.00     | 0.00%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    115000 | PA      | $106727.23    | 0.00%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    290000 | PA      | $277673.34    | 0.01%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1406304.39   | 0.04%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    735000 | PA      | $709584.96    | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                 | Southern California Gas Co                                                      | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    195000 | PA      | $183779.69    | 0.00%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                 | Southern California Gas Co                                                      | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $216175.84    | 0.01%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                           | Southern Co/The                                                                 | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1664433.64   | 0.04%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     21000 | PA      | $16430.37     | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    220000 | PA      | $233120.62    | 0.01%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    945000 | PA      | $952239.80    | 0.03%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                     | Southern Power Co                                                               | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48142.68     | 0.00%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                    | Southwest Gas Corp                                                              | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     44000 | PA      | $33316.20     | 0.00%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                               | Southwestern Electric Power Co                                                  | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   1547000 | PA      | $1545915.82   | 0.04%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                | Standard Chartered PLC                                                          | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    693000 | PA      | $707148.48    | 0.02%             | 2028-05-14      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                | Standard Chartered PLC                                                          | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    478000 | PA      | $488006.18    | 0.01%             | 2030-10-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                        | Starbucks Corp                                                                  | CUSIP: 855244BF5<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    440000 | PA      | $445493.47    | 0.01%             | 2033-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                        | Starbucks Corp                                                                  | CUSIP: 855244BH1<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    850000 | PA      | $873975.02    | 0.02%             | 2031-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                     | State Street Corp                                                               | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202589.57    | 0.01%             | 2034-01-26      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                     | State Street Corp                                                               | CUSIP: 857477CL5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    682000 | PA      | $691131.71    | 0.02%             | 2027-03-18      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                     | State Street Corp                                                               | CUSIP: 857477DB6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    370000 | PA      | $380926.47    | 0.01%             | 2030-04-24      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                     | State Street Corp                                                               | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    925000 | PA      | $920186.74    | 0.02%             | 2036-10-23      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                                 | Stellantis Finance US Inc                                                       | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    200000 | PA      | $175357.98    | 0.00%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MAK6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     25000 | PA      | $24819.78     | 0.00%             | 2026-10-19      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    345000 | PA      | $331438.13    | 0.01%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    370000 | PA      | $389768.57    | 0.01%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDG2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    310000 | PA      | $322873.61    | 0.01%             | 2028-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $414838.93    | 0.01%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDZ0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1527396.44   | 0.04%             | 2033-07-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TR BK LT                              | Sumitomo Mitsui Trust Bank Ltd                                                  | CUSIP: 86563VAV1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    403000 | PA      | $400785.83    | 0.01%             | 2026-03-25      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                     | Suncor Energy Inc                                                               | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $63475.39     | 0.00%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60018.80     | 0.00%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45349.89     | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    670000 | PA      | $602090.75    | 0.02%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                         | Sutter Health                                                                   | CUSIP: 86944BAL7<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396720.53    | 0.01%             | 2053-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                          | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1797000 | PA      | $1782604.66   | 0.05%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1278000 | PA      | $1273985.04   | 0.03%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5690000 | PA      | $5595403.35   | 0.15%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1358000 | PA      | $1011911.11   | 0.03%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    190000 | PA      | $127010.43    | 0.00%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    680000 | PA      | $602276.86    | 0.02%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    420000 | PA      | $383705.08    | 0.01%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADC6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    289000 | PA      | $306171.30    | 0.01%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    234000 | PA      | $240802.86    | 0.01%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    721000 | PA      | $720230.81    | 0.02%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                 | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    273000 | PA      | $208966.60    | 0.01%             | 2040-07-09      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                 | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1044000 | PA      | $696251.81    | 0.02%             | 2050-07-09      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                 | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    386000 | PA      | $388477.91    | 0.01%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                     | Tampa Electric Co                                                               | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $83511.22     | 0.00%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                              | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1023000 | PA      | $1023254.29   | 0.03%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                  | Targa Resources Corp                                                            | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1459701.09   | 0.04%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                  | Targa Resources Corp                                                            | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2171000 | PA      | $2211998.60   | 0.06%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                              | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41037.11     | 0.00%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                              | Telefonica Emisiones SA                                                         | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    340000 | PA      | $299336.89    | 0.01%             | 2047-03-08      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1214000 | PA      | $1144860.92   | 0.03%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                 | Tennessee Valley Authority                                                      | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    140000 | PA      | $156360.78    | 0.00%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                 | Tennessee Valley Authority                                                      | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     93000 | PA      | $82708.42     | 0.00%             | 2060-09-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                 | Tennessee Valley Authority                                                      | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    101000 | PA      | $83255.62     | 0.00%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH RESOURCES                                | Texas Health Resources                                                          | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    140000 | PA      | $80117.67     | 0.00%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp         | TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE                                  | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    275000 | PA      | $280458.81    | 0.01%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                           | Textron Inc                                                                     | CUSIP: 883203CE9<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1864551.65   | 0.05%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                              | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    330000 | PA      | $294513.05    | 0.01%             | 2031-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                              | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $103854.18    | 0.00%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    250000 | PA      | $255114.71    | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1815651.02   | 0.05%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    521000 | PA      | $526970.58    | 0.01%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87765.37     | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON COMPANY                                 | Toledo Edison Co/The                                                            | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $54401.34     | 0.00%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                 | Toorak Mortgage Trust 2025-RRTL1                                                | CUSIP: 89053JAB3<br>LEI: 25490023B58UP9CM5N96 | Long             | ABS-MBS          | CORP              | US        |   4205000 | PA      | $4220324.28   | 0.11%             | 2040-02-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1180000 | PA      | $1177710.76   | 0.03%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    240000 | PA      | $245433.06    | 0.01%             | 2028-01-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1280000 | PA      | $1336784.05   | 0.04%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                | TotalEnergies Capital International SA                                          | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    145000 | PA      | $103536.56    | 0.00%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                | TotalEnergies Capital International SA                                          | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    260000 | PA      | $173302.11    | 0.00%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                | TotalEnergies Capital International SA                                          | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    350000 | PA      | $264763.15    | 0.01%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2016-3                                                | CUSIP: 89172YAE0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $840875.85    | 0.02%             | 2056-04-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2017-6                                                | CUSIP: 89175JAC4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1610000 | PA      | $1511450.13   | 0.04%             | 2057-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |     11151 | PA      | $11083.30     | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2019-HY2                                              | CUSIP: 89177HAD4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $961628.76    | 0.03%             | 2058-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2021-R1                                               | CUSIP: 89179TAA2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1231570 | PA      | $1117765.44   | 0.03%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2022-4                                                | CUSIP: 89180YAA8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1964041 | PA      | $1892412.92   | 0.05%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                   | Toyota Auto Receivables 2024-B Owner Trust                                      | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2462163 | PA      | $2487815.31   | 0.07%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                                    | Trane Technologies Financing Ltd                                                | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    150000 | PA      | $156212.65    | 0.00%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                 | Tricon American Homes 2020-SFR2 Trust                                           | CUSIP: 89613JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2426000 | PA      | $2342635.12   | 0.06%             | 2039-11-17      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                    | Tricon Residential 2022-SFR1 Trust                                              | CUSIP: 89616QAD3<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    459000 | PA      | $456366.63    | 0.01%             | 2039-04-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                      | Triumph Rail Holdings LLC                                                       | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1279937 | PA      | $1237261.02   | 0.03%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2016092.50   | 0.05%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1165079.12   | 0.03%             | 2029-10-30      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    800000 | PA      | $841535.92    | 0.02%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1479325.64   | 0.04%             | 2031-05-20      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2379380.23   | 0.06%             | 2036-10-23      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                       | Tyson Foods Inc                                                                 | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    880000 | PA      | $927776.56    | 0.02%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    440000 | PA      | $394561.45    | 0.01%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1320000 | PA      | $1330675.54   | 0.04%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    642000 | PA      | $667581.96    | 0.02%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2730000 | PA      | $2732619.13   | 0.07%             | 2033-11-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| UDR INC                                               | UDR Inc                                                                         | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     28000 | PA      | $27824.90     | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UDR INC                                               | UDR Inc                                                                         | CUSIP: 90265EAQ3<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    150000 | PA      | $144122.46    | 0.00%             | 2030-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UDR INC                                               | UDR Inc                                                                         | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     25000 | PA      | $23145.15     | 0.00%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR INC                                               | UDR Inc                                                                         | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    160000 | PA      | $136701.78    | 0.00%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                         | UBS AG/London                                                                   | CUSIP: 902674A26<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $174356.40    | 0.00%             | 2048-06-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US BANK NA CINCINNATI                                 | US Bank NA/Cincinnati OH                                                        | CUSIP: 90331HPS6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |    592000 | PA      | $597977.34    | 0.02%             | 2028-05-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                 | Uber Technologies Inc                                                           | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    615000 | PA      | $614821.96    | 0.02%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                         | UniCredit SpA                                                                   | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $198156.16    | 0.01%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                     | Union Electric Co                                                               | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    250000 | PA      | $240962.26    | 0.01%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                     | Union Electric Co                                                               | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1626890.43   | 0.04%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                              | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    150000 | PA      | $111066.29    | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    270000 | PA      | $194783.99    | 0.01%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT                              | United Airlines 2019-1 Class AA Pass Through Trust                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    177649 | PA      | $174431.19    | 0.00%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 A PTT                               | United Airlines 2018-1 Class A Pass Through Trust                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    263491 | PA      | $251515.19    | 0.01%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                               | United Airlines 2016-2 Class A Pass Through Trust                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    192708 | PA      | $184154.23    | 0.00%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                              | United Airlines 2016-2 Class AA Pass Through Trust                              | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60221 | PA      | $58055.69     | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                              | United Airlines 2019-2 Class AA Pass Through Trust                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    162363 | PA      | $149012.98    | 0.00%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 B PTT                               | United Airlines 2018-1 Class B Pass Through Trust                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     48538 | PA      | $48502.37     | 0.00%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                               | United Airlines 2014-1 Class A Pass Through Trust                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32168 | PA      | $32162.44     | 0.00%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2024-1 AA PTT                              | United Airlines 2024-1 Class AA Pass Through Trust                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2688012 | PA      | $2763425.79   | 0.07%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 B PTT                               | United Airlines 2016-1 Class B Pass Through Trust                               | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23604 | PA      | $23596.95     | 0.00%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    283000 | PA      | $251870.00    | 0.01%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5067000 | PA      | $4380421.50   | 0.12%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    685000 | PA      | $499022.50    | 0.01%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    993000 | PA      | $1040664.00   | 0.03%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1476000 | PA      | $1574892.00   | 0.04%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                 | Mexico Government International Bond                                            | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2127000 | PA      | $2185301.07   | 0.06%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                 | Mexico Government International Bond                                            | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1338000 | PA      | $1396203.00   | 0.04%             | 2038-01-29      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                 | Mexico Government International Bond                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   7013000 | PA      | $6949883.00   | 0.19%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127679.24    | 0.00%             | 2028-01-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1407000 | PA      | $1424587.09   | 0.04%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    840000 | PA      | $873099.15    | 0.02%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    330000 | PA      | $352074.04    | 0.01%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJP6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    325000 | PA      | $332103.87    | 0.01%             | 2027-10-26      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    217000 | PA      | $224743.95    | 0.01%             | 2030-01-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    482000 | PA      | $508945.31    | 0.01%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    634000 | PA      | $651213.71    | 0.02%             | 2031-02-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   2086000 | PA      | $2168042.65   | 0.06%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                 | Vendee Mortgage Trust 1996-2                                                    | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1265 | PA      | $1268.90      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                 | Vendee Mortgage Trust 1997-1                                                    | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7593 | PA      | $7629.38      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                 | Vendee Mortgage Trust 1998-1                                                    | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4137 | PA      | $4169.53      | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1037800 | PA      | $945614.18    | 0.03%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    945000 | PA      | $925730.86    | 0.02%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11875000 | PA      | $10997827.12  | 0.29%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $785642.58    | 0.02%             | 2041-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1389445.31   | 0.04%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8450000 | PA      | $6493296.88   | 0.17%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $582328.12    | 0.02%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7470000 | PA      | $5798879.28   | 0.16%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2902000 | PA      | $2505015.45   | 0.07%             | 2043-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    514000 | PA      | $450452.74    | 0.01%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    645000 | PA      | $553717.38    | 0.01%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $825312.50    | 0.02%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    663000 | PA      | $512737.27    | 0.01%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1416406.24   | 0.04%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1430000 | PA      | $1092665.23   | 0.03%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14518700 | PA      | $9554552.34   | 0.26%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     28000 | PA      | $21079.84     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2310000 | PA      | $1718964.83   | 0.05%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    176200 | PA      | $133822.52    | 0.00%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    530000 | PA      | $392427.74    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1420000 | PA      | $1018683.59   | 0.03%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1095000 | PA      | $686727.54    | 0.02%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1365000 | PA      | $876745.90    | 0.02%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36874000 | PA      | $18130196.89  | 0.49%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1220000 | PA      | $774080.47    | 0.02%             | 2040-05-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13530000 | PA      | $7103250.00   | 0.19%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26123900 | PA      | $14598769.92  | 0.39%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16350000 | PA      | $10303693.32  | 0.28%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4785000 | PA      | $3519404.87   | 0.09%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3085000 | PA      | $1767247.06   | 0.05%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3635000 | PA      | $2539956.25   | 0.07%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110000 | PA      | $91738.28     | 0.00%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1860000 | PA      | $1612896.10   | 0.04%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2749687.50   | 0.07%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $449804.69    | 0.01%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15170000 | PA      | $12271700.35  | 0.33%             | 2053-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35110000 | PA      | $31496138.58  | 0.84%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6050000 | PA      | $5778931.63   | 0.15%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13800000 | PA      | $13290585.97  | 0.36%             | 2054-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18765000 | PA      | $17222018.60  | 0.46%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $132048.44    | 0.00%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17093000 | PA      | $16749804.69  | 0.45%             | 2044-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9198000 | PA      | $9442321.88   | 0.25%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 148450000 | PA      | $146066681.27 | 3.91%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1160000 | PA      | $1099507.81   | 0.03%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CAV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 107605000 | PA      | $94066105.54  | 2.52%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2475000 | PA      | $2355600.58   | 0.06%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    310000 | PA      | $277728.52    | 0.01%             | 2031-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $217802.74    | 0.01%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2950000 | PA      | $2630916.02   | 0.07%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1630000 | PA      | $1536911.71   | 0.04%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100000 | PA      | $5039039.09   | 0.13%             | 2027-05-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2230000 | PA      | $2204825.40   | 0.06%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2935000 | PA      | $2918146.67   | 0.08%             | 2027-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1805000 | PA      | $1774540.63   | 0.05%             | 2029-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3021328.14   | 0.08%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Inflation-Indexed Notes                                           | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16963360 | PA      | $16275668.10  | 0.44%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7150000 | PA      | $7136593.75   | 0.19%             | 2030-03-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37340000 | PA      | $35897450.87  | 0.96%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15198000 | PA      | $15627818.44  | 0.42%             | 2028-09-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24325000 | PA      | $25552652.34  | 0.68%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 120570000 | PA      | $124493234.46 | 3.33%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31968400 | PA      | $31868498.75  | 0.85%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21000000 | PA      | $21460195.26  | 0.57%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18830000 | PA      | $18540194.63  | 0.50%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28840000 | PA      | $29333434.52  | 0.79%             | 2029-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15295000 | PA      | $15455716.95  | 0.41%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31000000 | PA      | $31353593.75  | 0.84%             | 2027-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    745000 | PA      | $770958.59    | 0.02%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47970000 | PA      | $48676433.08  | 1.30%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11026000 | PA      | $11271070.05  | 0.30%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52655000 | PA      | $54119467.19  | 1.45%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $6550781.25   | 0.18%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35590000 | PA      | $35858315.15  | 0.96%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1288000 | PA      | $1298867.50   | 0.03%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21000000 | PA      | $21155039.01  | 0.57%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59000000 | PA      | $59308828.42  | 1.59%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  69645000 | PA      | $69661323.40  | 1.87%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13355000 | PA      | $10714601.38  | 0.29%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $298958.88    | 0.01%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $72963.24     | 0.00%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    775000 | PA      | $551911.19    | 0.01%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65000 | PA      | $44016.93     | 0.00%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23050000 | PA      | $14832568.74  | 0.40%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3705000 | PA      | $3074436.12   | 0.08%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6835000 | PA      | $5548892.36   | 0.15%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7475000 | PA      | $5929872.50   | 0.16%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1175000 | PA      | $868168.74    | 0.02%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1025000 | PA      | $738850.77    | 0.02%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $34276.51     | 0.00%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833PC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $288456.25    | 0.01%             | 2027-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833PD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    725000 | PA      | $690988.29    | 0.02%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833PE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $236142.33    | 0.01%             | 2027-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $167053.02    | 0.00%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3400000 | PA      | $2975669.56   | 0.08%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3465000 | PA      | $2906022.15   | 0.08%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9830000 | PA      | $8063825.22   | 0.22%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $414669.31    | 0.01%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    545134 | PA      | $262073.19    | 0.01%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $1494531.14   | 0.04%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $45944.13     | 0.00%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21405000 | PA      | $8727113.89   | 0.23%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834VE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24295000 | PA      | $7213761.29   | 0.19%             | 2049-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    138000 | PA      | $115175.94    | 0.00%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     80000 | PA      | $61992.15     | 0.00%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    980000 | PA      | $983260.58    | 0.03%             | 2028-11-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1314198.49   | 0.04%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    490000 | PA      | $351718.39    | 0.01%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    380000 | PA      | $242632.52    | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     80000 | PA      | $48280.81     | 0.00%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    120000 | PA      | $108217.25    | 0.00%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $94490.86     | 0.00%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $141168.27    | 0.00%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    320000 | PA      | $288632.23    | 0.01%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF MIAMI                                   | University of Miami                                                             | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    120000 | PA      | $96118.31     | 0.00%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                              | University of Southern California                                               | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    110000 | PA      | $63389.32     | 0.00%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 Issuer Trust                           | UPX HIL 2025-1 Issuer Trust                                                     | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6848973 | PA      | $6901872.04   | 0.18%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| VFI ABS LLC                                           | VFI ABS 2025-1 LLC                                                              | CUSIP: 91824UAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1715000 | PA      | $1725631.80   | 0.05%             | 2030-12-24      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| VM DEBT 2019 1 TR                                     | VM DEBT 2019 1 TR                                                               | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $952500.00    | 0.03%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                 | Vendee Mortgage Trust 1996-1                                                    | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5911 | PA      | $5896.67      | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                      | Ventas Realty LP                                                                | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |      9000 | PA      | $8999.00      | 0.00%             | 2026-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                      | Ventas Realty LP                                                                | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     25000 | PA      | $24861.25     | 0.00%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                      | Ventas Realty LP                                                                | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     49000 | PA      | $48872.17     | 0.00%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    680000 | PA      | $545229.97    | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    690000 | PA      | $665726.69    | 0.02%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    480000 | PA      | $384742.00    | 0.01%             | 2046-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    430000 | PA      | $432825.22    | 0.01%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2637539.55   | 0.07%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    680000 | PA      | $518189.36    | 0.01%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    647000 | PA      | $401121.81    | 0.01%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    200000 | PA      | $156603.26    | 0.00%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8812.50      | 0.00%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    475000 | PA      | $482784.27    | 0.01%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                  | Verizon Master Trust                                                            | CUSIP: 92348KCQ4<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   1473000 | PA      | $1501718.64   | 0.04%             | 2030-04-22      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                           | Viatris Inc                                                                     | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    589000 | PA      | $572133.03    | 0.02%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              |  | US        |    255000 | PA      | $254502.34    | 0.01%             | 2029-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    748000 | PA      | $756978.37    | 0.02%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                              | Virginia Electric and Power Co                                                  | CUSIP: 927804FE9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     70000 | PA      | $76853.59     | 0.00%             | 2037-11-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                              | Virginia Electric and Power Co                                                  | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2741459.76   | 0.07%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1526000 | PA      | $1700479.79   | 0.05%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1082000 | PA      | $1138624.31   | 0.03%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    425000 | PA      | $438668.85    | 0.01%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                            | VMware LLC                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    404000 | PA      | $398030.71    | 0.01%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                    | Vodafone Group PLC                                                              | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     35000 | PA      | $33508.83     | 0.00%             | 2053-02-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                         | VLS Commercial Mortgage Trust 2020-LAB                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1530000 | PA      | $1311642.53   | 0.04%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust                           | Volkswagen Auto Lease Trust 2024-A                                              | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2947000 | PA      | $2962657.41   | 0.08%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                 | VOLT XCV LLC                                                                    | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41679 | PA      | $41679.37     | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                  | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507934 | PA      | $485870.52    | 0.01%             | 2045-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2003-AR8 Trust                   | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1771 | PA      | $1691.66      | 0.00%             | 2033-08-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                   | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9391 | PA      | $8871.57      | 0.00%             | 2033-09-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust                   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2938 | PA      | $2711.52      | 0.00%             | 2034-06-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust  | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14149 | PA      | $12200.24     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                          | WP Carey Inc                                                                    | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    245000 | PA      | $245286.02    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                          | WP Carey Inc                                                                    | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    180000 | PA      | $151777.23    | 0.00%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                  | WEC Energy Group Inc                                                            | CUSIP: 92939UAM8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    155000 | PA      | $156550.64    | 0.00%             | 2026-09-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                             | WRKCo Inc                                                                       | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34817.37     | 0.00%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                           | Walmart Inc                                                                     | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    180000 | PA      | $160398.46    | 0.00%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust  | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222676 | PA      | $11599.97     | 0.00%             | 2035-04-25      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust  | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64323 | PA      | $3075.76      | 0.00%             | 2035-04-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-3 Trust  | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68497 | PA      | $12292.81     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust  | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51673 | PA      | $48212.34     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1052248.68   | 0.03%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GAY0<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    684000 | PA      | $676731.47    | 0.02%             | 2049-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GBB9<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |  11228554 | PA      | $13376.58     | 0.00%             | 2049-08-15      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-C36                                  | CUSIP: 95000MBS9<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-MBS          | CORP              | US        |  23811069 | PA      | $90365.39     | 0.00%             | 2059-11-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1292990.88   | 0.03%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1322297.26   | 0.04%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1238127.86   | 0.03%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7300000 | PA      | $6671186.91   | 0.18%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    750000 | PA      | $732820.47    | 0.02%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $998670.41    | 0.03%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    269000 | PA      | $273184.25    | 0.01%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    325000 | PA      | $338140.45    | 0.01%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    276000 | PA      | $285902.01    | 0.01%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    310000 | PA      | $325008.15    | 0.01%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4860000 | PA      | $5070779.07   | 0.14%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1348420.89   | 0.04%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    489000 | PA      | $506369.25    | 0.01%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    913000 | PA      | $956926.05    | 0.03%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    671000 | PA      | $692608.30    | 0.02%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust          | Wells Fargo Mortgage Backed Securities 2020-1 Trust                             | CUSIP: 95002KAA1<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     50613 | PA      | $43855.12     | 0.00%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2020-C58                                  | CUSIP: 95002UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284000 | PA      | $254666.21    | 0.01%             | 2053-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                    | Wendy's Funding LLC                                                             | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1727064 | PA      | $1609565.27   | 0.04%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                              | Western Midstream Operating LP                                                  | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    990000 | PA      | $847489.65    | 0.02%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                              | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107764.82    | 0.00%             | 2030-02-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                 | Westlake Automobile Receivables Trust 2023-3                                    | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1010622.60   | 0.03%             | 2028-09-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| WESTPAC NEW ZEALAND LTD                               | Westpac New Zealand Ltd                                                         | CUSIP: 96122FAA5<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |    560000 | PA      | $570093.86    | 0.02%             | 2028-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                            | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    200000 | PA      | $210337.35    | 0.01%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                            | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    910000 | PA      | $946382.82    | 0.03%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                            | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    350000 | PA      | $355774.49    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                            | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    360000 | PA      | $322176.40    | 0.01%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD                                  | Woodside Finance Ltd                                                            | CUSIP: 980236AU7<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    570000 | PA      | $593113.60    | 0.02%             | 2032-05-19      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| XYLEM INC                                             | Xylem Inc/NY                                                                    | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |    110000 | PA      | $99806.76     | 0.00%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| YALE-NEW HAVEN HLTH SRVC                              | Yale-New Haven Health Services Corp                                             | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |    200000 | PA      | $116833.78    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $2141517.67   | 0.06%             | 2035-02-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US LONG BOND(CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       193 | NC      | $-217451.17   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR NOTE (CBT)MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       472 | NC      | $-319202.14   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US 5YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       557 | NC      | $-187631.01   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US 2YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       506 | NC      | $-44236.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR ULTRA FUT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       899 | NC      | $-373698.11   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| DP WORLD LTD UAE                                      | DP World Ltd/United Arab Emirates                                               | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |   1030000 | PA      | $889763.44    | 0.02%             | 2049-09-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-15

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP