# EDGAR Filing Document

**Accession Number:** 0001738077
**File Stem:** 0001410368-26-054487
**Filing Date:** 2026-5
**Character Count:** 1058116
**Document Hash:** aa260d33d439a536f2a0fc7d32b7fdb9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-054487.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0001410368-26-054487

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Master Investment Portfolio II
- **CENTRAL INDEX KEY:** 0001738077

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23343
- **FILM NUMBER:** 261030898

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

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

## Series and Classes Contracts Data

### Advantage CoreAlpha Bond Master Portfolio (Series ID: S000062381)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000202350 | Advantage CoreAlpha Bond Master Portfolio |  |

## Nport-Ex

March 31, 2026

2026 Quarterly Report <br>&nbsp;&nbsp;&nbsp;&nbsp;(Unaudited)<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**Advantage CoreAlpha Bond Master Portfolio**<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**Not FDIC Insured • May Lose Value • No Bank Guarantee**<br>

------

Schedule of Investments (unaudited)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| *Security* | *Par* <br>*(000)*<br>| *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
| &nbsp;&nbsp;&nbsp; ACHV ABS Trust, Series 2024-1PL, Class B, 6.34%, <br> 04/25/31<sup>(a)</sup><br>| 238 | &nbsp;&nbsp; $240310 |
| Affirm Asset Securitization Trust<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-X1, Class D, 9.55%, 11/15/28 | 211 | &nbsp;&nbsp; 211587 |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class C, 5.06%, 09/15/29 | 3500 | &nbsp;&nbsp; 3501826 |
| &nbsp;&nbsp;&nbsp; Series 2024-X1, Class D, 7.29%, 05/15/29 | 1750 | &nbsp;&nbsp; 1750388 |
| &nbsp;&nbsp;&nbsp; Series 2024-X2, Class C, 5.62%, 12/17/29 | 1050 | &nbsp;&nbsp; 1050771 |
| &nbsp;&nbsp;&nbsp; Series 2024-X2, Class D, 6.08%, 12/17/29 | 525 | &nbsp;&nbsp; 526316 |
| &nbsp;&nbsp;&nbsp; Series 2025-X1, Class B, 5.19%, 04/15/30 | 2000 | &nbsp;&nbsp; 2001897 |
| &nbsp;&nbsp;&nbsp; Series 2025-X1, Class D, 6.11%, 04/15/30 | 2000 | &nbsp;&nbsp; 2008771 |
| &nbsp;&nbsp;&nbsp; Series 2025-X2, Class C, 4.93%, 10/15/30 | 750 | &nbsp;&nbsp; 751003 |
| Affirm Master Trust<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-3A, Class B, 4.75%, 10/16/34 | 1460 | &nbsp;&nbsp; 1450946 |
| &nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, 4.89%, 10/16/34 | 2600 | &nbsp;&nbsp; 2582916 |
| &nbsp;&nbsp;&nbsp; Blue Bridge Funding LLC, Series 2023-1A, Class A, <br> 7.37%, 11/15/30<sup>(a)</sup><br>| 112 | &nbsp;&nbsp; 112877 |
| Carvana Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-N2, Class B, 0.75%, 03/10/28 | 102 | &nbsp;&nbsp; 100375 |
| &nbsp;&nbsp;&nbsp; Series 2021-N2, Class C, 1.07%, 03/10/28 | 287 | &nbsp;&nbsp; 281620 |
| &nbsp;&nbsp;&nbsp; Chase Funding Trust, Series 2004-2, Class 2A2, (1 mo. <br> Term SOFR + 0.61%), 4.29%, 02/26/35<sup>(b)</sup><br>| 47 | &nbsp;&nbsp; 44901 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates, Series 2004-1, <br> Class M1, (1 mo. Term SOFR + 0.86%), 4.54%, <br> 03/25/34<sup>(b)</sup><br>| 3 | &nbsp;&nbsp; 3468 |
| &nbsp;&nbsp;&nbsp; Drive Auto Receivables Trust, Series 2024-2, Class C, <br> 4.67%, 05/17/32<br>| 790 | &nbsp;&nbsp; 793585 |
| &nbsp;&nbsp;&nbsp; Louisiana Local Government Environmental Facilities & <br> Community Development Authority, Series 2022-ELL, <br> Class A3, 4.28%, 02/01/36<br>| 85 | &nbsp;&nbsp; 83505 |
| NetCredit Combined Receivables LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 8.31%, 10/21/30 | 781 | &nbsp;&nbsp; 789316 |
| &nbsp;&nbsp;&nbsp; Series 2025-A, Class A, 7.29%, 10/20/31 | 520 | &nbsp;&nbsp; 524416 |
| &nbsp;&nbsp;&nbsp; OnDeck Asset Securitization Trust IV LLC, Series 2023-<br> 1A, Class A, 7.00%, 08/19/30<sup>(a)</sup><br>| 1460 | &nbsp;&nbsp; 1468565 |
| &nbsp;&nbsp;&nbsp; OneMain Financial Issuance Trust, Series 2019-2A, <br> Class A, 3.14%, 10/14/36<sup>(a)</sup><br>| 5690 | &nbsp;&nbsp; 5596046 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust, Series 2024-1, <br> Class C, 5.45%, 03/15/30<br>| 510 | &nbsp;&nbsp; 514596 |
| &nbsp;&nbsp;&nbsp; Sunbit Asset Securitization Trust, Series 2025-1, Class A, <br> 5.36%, 07/15/30<sup>(a)</sup><br>| 1670 | &nbsp;&nbsp; 1671731 |
| &nbsp;&nbsp;&nbsp; Upstart Securitization Trust, Series 2025-3, Class B, <br> 5.02%, 09/20/35<sup>(a)</sup><br>| 900 | &nbsp;&nbsp; 900591 |
| Westlake Automobile Receivables Trust<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 6.79%, 11/15/28 | 2880 | &nbsp;&nbsp; 2926102 |
| &nbsp;&nbsp;&nbsp; Series 2023-4A, Class C, 6.64%, 11/15/28 | 1080 | &nbsp;&nbsp; 1091221 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class D, 6.02%, 10/15/29 | 1360 | &nbsp;&nbsp; 1384991 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class D, 5.91%, 04/15/30 | 2030 | &nbsp;&nbsp; 2070514 |
| **Total Asset-Backed Securities — 5.4%** <br>**(Cost: $36,469,191)** | **Total Asset-Backed Securities — 5.4%** <br>**(Cost: $36,469,191)** | &nbsp;&nbsp; 36435151 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| *Security* | <br>*Shares*<br>| *Value* |
| **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Financial Services**<sup>(c)(d)</sup> **— 0.0%** | **Financial Services**<sup>(c)(d)</sup> **— 0.0%** |  |
| Edcon Holdco 1 | 1643590 | &nbsp;&nbsp; $1 |
| Edcon Holdco 2 | 163560 | &nbsp;&nbsp; — |
|  |  | &nbsp;&nbsp; 1 |
| **Total Common Stocks — 0.0%** <br>**(Cost: $—)** | **Total Common Stocks — 0.0%** <br>**(Cost: $—)** | &nbsp;&nbsp; 1 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | *Par* <br>*(000)*<br>|  |
| **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** |
| **Advertising Agencies — 0.1%** | **Advertising Agencies — 0.1%** | **Advertising Agencies — 0.1%** |
| Clear Channel Outdoor Holdings, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.75%, 04/15/28 | $136 | &nbsp;&nbsp; 136645 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/29 | 82 | &nbsp;&nbsp; 82346 |
| &nbsp;&nbsp;&nbsp; 7.88%, 04/01/30 | 61 | &nbsp;&nbsp; 63837 |
| &nbsp;&nbsp;&nbsp; 7.13%, 02/15/31 | 71 | &nbsp;&nbsp; 74386 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/15/33 | 63 | &nbsp;&nbsp; 66717 |
| Omnicom Group, Inc., 3.38%, 03/01/41 | 78 | &nbsp;&nbsp; 57161 |
|  |  | &nbsp;&nbsp; 481092 |
| **Aerospace & Defense — 0.4%** | **Aerospace & Defense — 0.4%** | **Aerospace & Defense — 0.4%** |
| Bombardier, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.25%, 07/01/31 | 168 | &nbsp;&nbsp; 176050 |
| &nbsp;&nbsp;&nbsp; 6.75%, 06/15/33 | 276 | &nbsp;&nbsp; 285027 |
| &nbsp;&nbsp;&nbsp; 7.45%, 05/01/34 | 130 | &nbsp;&nbsp; 140422 |
| &nbsp;&nbsp;&nbsp; GE Capital International Funding Co. Unlimited Co., <br> 4.42%, 11/15/35<br>| 250 | &nbsp;&nbsp; 239718 |
| General Dynamics Corp., 2.25%, 06/01/31 | 550 | &nbsp;&nbsp; 495073 |
| General Electric Co., 4.90%, 01/29/36 | 245 | &nbsp;&nbsp; 245198 |
| Moog, Inc., 5.50%, 10/15/34<sup>(a)</sup> | 65 | &nbsp;&nbsp; 65204 |
| TransDigm, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.13%, 12/01/31 | 187 | &nbsp;&nbsp; 193013 |
| &nbsp;&nbsp;&nbsp; 6.63%, 03/01/32 | 187 | &nbsp;&nbsp; 190716 |
| &nbsp;&nbsp;&nbsp; 6.38%, 05/31/33 | 350 | &nbsp;&nbsp; 348134 |
| &nbsp;&nbsp;&nbsp; 6.25%, 01/31/34 | 15 | &nbsp;&nbsp; 15166 |
| &nbsp;&nbsp;&nbsp; 6.75%, 01/31/34 | 40 | &nbsp;&nbsp; 40524 |
|  |  | &nbsp;&nbsp; 2434245 |
| **Air Freight & Logistics — 0.0%** | **Air Freight & Logistics — 0.0%** | **Air Freight & Logistics — 0.0%** |
| Stonepeak Nile Parent LLC, 7.25%, 03/15/32<sup>(a)</sup> | 148 | &nbsp;&nbsp; 153934 |
| **Automobile Components**<sup>(a)</sup> **— 0.2%** | **Automobile Components**<sup>(a)</sup> **— 0.2%** | **Automobile Components**<sup>(a)</sup> **— 0.2%** |
| Cooper-Standard Automotive, Inc., 9.25%, 03/01/31 | 369 | &nbsp;&nbsp; 346768 |
| Cyprium Corp./Cyprium Holdings Luxembourg SARL |  |  |
| &nbsp;&nbsp;&nbsp; 6.13%, 04/15/31 | 55 | &nbsp;&nbsp; 54220 |
| &nbsp;&nbsp;&nbsp; 6.38%, 04/15/34 | 65 | &nbsp;&nbsp; 63092 |
| &nbsp;&nbsp;&nbsp; Garrett Motion Holdings, Inc./Garrett LX I SARL, 7.75%, <br> 05/31/32<br>| 318 | &nbsp;&nbsp; 329265 |
| &nbsp;&nbsp;&nbsp; IHO Verwaltungs GmbH, (8.00% Cash or 8.75% PIK), <br> 8.00%, 11/15/32<sup>(e)</sup><br>| 110 | &nbsp;&nbsp; 112687 |
| Phinia, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.75%, 04/15/29 | 76 | &nbsp;&nbsp; 77372 |
| &nbsp;&nbsp;&nbsp; 6.63%, 10/15/32 | 69 | &nbsp;&nbsp; 70131 |
|  |  | &nbsp;&nbsp; 1053535 |
| **Automobiles — 0.3%** | **Automobiles — 0.3%** | **Automobiles — 0.3%** |
| American Honda Finance Corp., 4.90%, 03/13/29<sup>(f)</sup> | 450 | &nbsp;&nbsp; 452983 |
| Carvana Co.<sup>(a)(e)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (11.00% Cash or 13.00% PIK), 9.00%, 06/01/30 | 126 | &nbsp;&nbsp; 130749 |
| &nbsp;&nbsp;&nbsp; (9.00% PIK), 9.00%, 06/01/31 | 54 | &nbsp;&nbsp; 58390 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Automobiles (continued)** | **Automobiles (continued)** | **Automobiles (continued)** |
| Ford Motor Credit Co. LLC, 5.75%, 04/06/33 | 495 | &nbsp;&nbsp; $485768 |
| New Flyer Holdings, Inc., 9.25%, 07/01/30<sup>(a)</sup> | 196 | &nbsp;&nbsp; 209493 |
| Nissan Motor Acceptance Co. LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.05%, 09/15/28 | 46 | &nbsp;&nbsp; 46717 |
| &nbsp;&nbsp;&nbsp; 6.13%, 09/30/30 | 108 | &nbsp;&nbsp; 103792 |
| Nissan Motor Co. Ltd.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/17/30 | 106 | &nbsp;&nbsp; 106811 |
| &nbsp;&nbsp;&nbsp; 7.75%, 07/17/32 | 215 | &nbsp;&nbsp; 217708 |
| &nbsp;&nbsp;&nbsp; 8.13%, 07/17/35 | 211 | &nbsp;&nbsp; 217086 |
| &nbsp;&nbsp;&nbsp; Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC, <br> 10.00%, 01/15/31<sup>(a)</sup><br>| 96 | &nbsp;&nbsp; 93281 |
|  |  | &nbsp;&nbsp; 2122778 |
| **Banks — 2.4%** | **Banks — 2.4%** | **Banks — 2.4%** |
| Bank of Montreal |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 03/08/27 | 435 | &nbsp;&nbsp; 428679 |
| &nbsp;&nbsp;&nbsp; 5.72%, 09/25/28 | 20 | &nbsp;&nbsp; 20595 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 0.88%), 4.57%, 09/10/27<sup>(b)</sup> | 215 | &nbsp;&nbsp; 215208 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce, 5.26%, <br> 04/08/29<sup>(f)</sup><br>| 300 | &nbsp;&nbsp; 306543 |
| &nbsp;&nbsp;&nbsp; Fifth Third Bancorp, (1-day SOFR + 2.34%), 6.34%, <br> 07/27/29<sup>(b)</sup><br>| 140 | &nbsp;&nbsp; 145133 |
| Freedom Mortgage Corp., 12.25%, 10/01/30<sup>(a)</sup> | 35 | &nbsp;&nbsp; 37764 |
| ING Groep NV<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.56%), 6.08%, 09/11/27<sup>(f)</sup> | 855 | &nbsp;&nbsp; 860316 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.09%), 6.11%, 09/11/34 | 545 | &nbsp;&nbsp; 574831 |
| Inter-American Development Bank, 4.50%, 05/15/26 | 1730 | &nbsp;&nbsp; 1731449 |
| &nbsp;&nbsp;&nbsp; M&T Bank Corp., (1-day SOFR + 2.80%), 7.41%, <br> 10/30/29<sup>(b)</sup><br>| 1410 | &nbsp;&nbsp; 1506806 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Private Bank NA, (1-day SOFR + <br> 1.08%), 4.73%, 07/18/31<sup>(b)</sup><br>| 1825 | &nbsp;&nbsp; 1819347 |
| Royal Bank of Canada |  |  |
| &nbsp;&nbsp;&nbsp; 3.63%, 05/04/27 | 630 | &nbsp;&nbsp; 626215 |
| &nbsp;&nbsp;&nbsp; 5.20%, 08/01/28 | 40 | &nbsp;&nbsp; 40793 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/33 | 10 | &nbsp;&nbsp; 10077 |
| &nbsp;&nbsp;&nbsp; Santander U.K. Group Holdings PLC, (3-mo. SOFR US + <br> 1.66%), 3.82%, 11/03/28<sup>(b)</sup><br>| 240 | &nbsp;&nbsp; 236911 |
| &nbsp;&nbsp;&nbsp; Truist Financial Corp., (1-day SOFR + 0.86%), 1.89%, <br> 06/07/29<sup>(b)</sup><br>| 10 | &nbsp;&nbsp; 9464 |
| U.S. Bancorp<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.41%), 5.42%, 02/12/36<sup>(f)</sup> | 965 | &nbsp;&nbsp; 986085 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.86%), 5.68%, 01/23/35 | 155 | &nbsp;&nbsp; 160093 |
| Wells Fargo & Co.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.38%), 5.21%, 12/03/35 | 775 | &nbsp;&nbsp; 771572 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.50%), 3.35%, 03/02/33 | 433 | &nbsp;&nbsp; 397574 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.78%), 5.50%, 01/23/35 | 105 | &nbsp;&nbsp; 106885 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.79%), 6.30%, 10/23/29 | 308 | &nbsp;&nbsp; 320780 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.98%), 4.81%, 07/25/28 | 840 | &nbsp;&nbsp; 843487 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.06%), 6.49%, 10/23/34 | 180 | &nbsp;&nbsp; 194896 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.10%), 4.90%, 07/25/33 | 409 | &nbsp;&nbsp; 406908 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.53%), 3.07%, 04/30/41 | 70 | &nbsp;&nbsp; 52553 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.26%), 2.57%, 02/11/31 | 1374 | &nbsp;&nbsp; 1270921 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.43%), 2.88%, 10/30/30 | 80 | &nbsp;&nbsp; 75478 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 4.03%), 4.48%, 04/04/31 | 535 | &nbsp;&nbsp; 530378 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 4.50%), 5.01%, 04/04/51 | 360 | &nbsp;&nbsp; 317158 |
| Westpac Banking Corp., 2.96%, 11/16/40 | 120 | &nbsp;&nbsp; 88910 |
| &nbsp;&nbsp;&nbsp; Zions Bancorp NA, (1-day SOFR + 1.06%), 4.48%, <br> 02/09/29<sup>(b)</sup><br>| 760 | &nbsp;&nbsp; 754325 |
|  |  | &nbsp;&nbsp; 15848134 |
| **Beverages — 0.4%** | **Beverages — 0.4%** | **Beverages — 0.4%** |
| Coca-Cola Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/05/51<sup>(f)</sup> | 90 | &nbsp;&nbsp; 58832 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Beverages (continued)** | **Beverages (continued)** | **Beverages (continued)** |
| Coca-Cola Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 5.30%, 05/13/54 | 610 | &nbsp;&nbsp; $584654 |
| &nbsp;&nbsp;&nbsp; 5.40%, 05/13/64 | 400 | &nbsp;&nbsp; 380469 |
| Diageo Capital PLC |  |  |
| &nbsp;&nbsp;&nbsp; 2.13%, 04/29/32 | 380 | &nbsp;&nbsp; 327803 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/24/33 | 725 | &nbsp;&nbsp; 748576 |
| PepsiCo, Inc., 4.65%, 02/15/53 | 365 | &nbsp;&nbsp; 315239 |
|  |  | &nbsp;&nbsp; 2415573 |
| **Biotechnology — 0.5%** | **Biotechnology — 0.5%** | **Biotechnology — 0.5%** |
| Amgen, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.60%, 08/19/26 | 800 | &nbsp;&nbsp; 795288 |
| &nbsp;&nbsp;&nbsp; 5.65%, 03/02/53 | 165 | &nbsp;&nbsp; 159809 |
| &nbsp;&nbsp;&nbsp; 5.65%, 02/19/56 | 115 | &nbsp;&nbsp; 111484 |
| Genmab AS/Genmab Finance LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 12/15/32 | 56 | &nbsp;&nbsp; 57413 |
| &nbsp;&nbsp;&nbsp; 7.25%, 12/15/33 | 362 | &nbsp;&nbsp; 378917 |
| Regeneron Pharmaceuticals, Inc., 1.75%, 09/15/30 | 2440 | &nbsp;&nbsp; 2162721 |
|  |  | &nbsp;&nbsp; 3665632 |
| **Building Materials — 0.4%** | **Building Materials — 0.4%** | **Building Materials — 0.4%** |
| Carlisle Cos., Inc., 5.55%, 09/15/40 | 100 | &nbsp;&nbsp; 99113 |
| CRH America Finance, Inc., 5.50%, 01/09/35 | 1235 | &nbsp;&nbsp; 1261639 |
| Eagle Materials, Inc., 2.50%, 07/01/31 | 555 | &nbsp;&nbsp; 495683 |
| Martin Marietta Materials, Inc., 5.15%, 12/01/34 | 620 | &nbsp;&nbsp; 620223 |
| Masco Corp., 2.00%, 10/01/30 | 160 | &nbsp;&nbsp; 142207 |
| Trane Technologies Financing Ltd., 4.50%, 03/21/49 | 95 | &nbsp;&nbsp; 80283 |
|  |  | &nbsp;&nbsp; 2699148 |
| **Building Products — 0.1%** | **Building Products — 0.1%** | **Building Products — 0.1%** |
| Home Depot, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.40%, 09/15/40 | 200 | &nbsp;&nbsp; 200591 |
| &nbsp;&nbsp;&nbsp; 3.13%, 12/15/49 | 110 | &nbsp;&nbsp; 72879 |
| &nbsp;&nbsp;&nbsp; 5.40%, 06/25/64<sup>(f)</sup> | 30 | &nbsp;&nbsp; 28165 |
| Lowe's Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.35%, 04/01/27 | 280 | &nbsp;&nbsp; 277796 |
| &nbsp;&nbsp;&nbsp; 5.80%, 09/15/62 | 55 | &nbsp;&nbsp; 52247 |
| QXO Building Products, Inc., 6.75%, 04/30/32<sup>(a)</sup> | 369 | &nbsp;&nbsp; 376377 |
|  |  | &nbsp;&nbsp; 1008055 |
| **Capital Markets — 0.9%** | **Capital Markets — 0.9%** | **Capital Markets — 0.9%** |
| Ameriprise Financial, Inc., 5.70%, 12/15/28 | 720 | &nbsp;&nbsp; 743927 |
| Ares Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.15%, 07/15/26 | 352 | &nbsp;&nbsp; 349088 |
| &nbsp;&nbsp;&nbsp; 2.88%, 06/15/28 | 425 | &nbsp;&nbsp; 401290 |
| ARES Capital Corp., 5.10%, 01/15/31 | 200 | &nbsp;&nbsp; 192299 |
| Ares Management Corp., 5.60%, 10/11/54 | 463 | &nbsp;&nbsp; 407834 |
| &nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp., (1-day SOFR + 1.51%), <br> 4.71%, 02/01/34<sup>(b)</sup><br>| 270 | &nbsp;&nbsp; 266793 |
| Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 08/24/26 | 415 | &nbsp;&nbsp; 417397 |
| &nbsp;&nbsp;&nbsp; 2.45%, 03/03/27 | 45 | &nbsp;&nbsp; 44306 |
| &nbsp;&nbsp;&nbsp; 3.20%, 01/25/28 | 4 | &nbsp;&nbsp; 3935 |
| &nbsp;&nbsp;&nbsp; 1.65%, 03/11/31 | 3 | &nbsp;&nbsp; 2614 |
| &nbsp;&nbsp;&nbsp; 2.30%, 05/13/31 | 13 | &nbsp;&nbsp; 11694 |
| &nbsp;&nbsp;&nbsp; 1.95%, 12/01/31<sup>(f)</sup> | 105 | &nbsp;&nbsp; 91387 |
| &nbsp;&nbsp;&nbsp; 2.90%, 03/03/32<sup>(f)</sup> | 4 | &nbsp;&nbsp; 3621 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.23%), 4.91%, 11/14/36<sup>(b)</sup> | 540 | &nbsp;&nbsp; 524888 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.88%), 6.20%, 11/17/29<sup>(b)</sup> | 358 | &nbsp;&nbsp; 374161 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.21%), 5.64%, 05/19/29<sup>(b)</sup> | 92 | &nbsp;&nbsp; 94525 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.50%), 5.85%, 05/19/34<sup>(b)</sup> | 31 | &nbsp;&nbsp; 32558 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 9.75%, 01/15/29<sup>(f)</sup> | 190 | &nbsp;&nbsp; 186799 |
| &nbsp;&nbsp;&nbsp; 10.00%, 11/15/29<sup>(a)</sup> | 205 | &nbsp;&nbsp; 201955 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** |
| &nbsp;&nbsp;&nbsp; Icahn Enterprises LP/Icahn Enterprises Finance <br> Corp. (continued)<br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.00%, 06/15/30<sup>(f)</sup> | 96 | &nbsp;&nbsp; $90029 |
| &nbsp;&nbsp;&nbsp; Jane Street Group/JSG Finance, Inc., 6.75%, <br> 05/01/33<sup>(a)</sup><br>| 66 | &nbsp;&nbsp; 66962 |
| LPL Holdings, Inc., 5.65%, 03/15/35 | 945 | &nbsp;&nbsp; 936905 |
| Osaic Holdings, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.75%, 08/01/32 | 85 | &nbsp;&nbsp; 85011 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/01/33 | 75 | &nbsp;&nbsp; 74040 |
| Stonex Escrow Issuer LLC, 6.88%, 07/15/32<sup>(a)</sup> | 44 | &nbsp;&nbsp; 44468 |
| StoneX Group, Inc., 7.88%, 03/01/31<sup>(a)</sup> | 228 | &nbsp;&nbsp; 236807 |
| &nbsp;&nbsp;&nbsp; VFH Parent LLC/Valor Co-Issuer, Inc., 7.50%, <br> 06/15/31<sup>(a)</sup><br>| 209 | &nbsp;&nbsp; 214749 |
|  |  | &nbsp;&nbsp; 6100042 |
| **Chemicals — 0.5%** | **Chemicals — 0.5%** | **Chemicals — 0.5%** |
| Air Products and Chemicals, Inc., 2.70%, 05/15/40<sup>(f)</sup> | 87 | &nbsp;&nbsp; 64001 |
| Celanese U.S. Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp; 7.05%, 11/15/30 | 57 | &nbsp;&nbsp; 60254 |
| &nbsp;&nbsp;&nbsp; 7.38%, 07/15/32 | 57 | &nbsp;&nbsp; 59494 |
| &nbsp;&nbsp;&nbsp; 7.38%, 02/15/34 | 59 | &nbsp;&nbsp; 60447 |
| Chemours Co.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.00%, 01/15/33 | 247 | &nbsp;&nbsp; 248349 |
| &nbsp;&nbsp;&nbsp; 7.88%, 03/15/34<sup>(f)</sup> | 263 | &nbsp;&nbsp; 262923 |
| &nbsp;&nbsp;&nbsp; CVR Partners LP/CVR Nitrogen Finance Corp., 6.13%, <br> 06/15/28<sup>(a)</sup><br>| 233 | &nbsp;&nbsp; 232147 |
| FMC Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.65%, 05/18/33 | 86 | &nbsp;&nbsp; 76095 |
| &nbsp;&nbsp;&nbsp; 6.38%, 05/18/53 | 47 | &nbsp;&nbsp; 35413 |
| Perimeter Holdings LLC, 6.25%, 01/15/34<sup>(a)</sup> | 121 | &nbsp;&nbsp; 118671 |
| Rain Carbon, Inc., 12.25%, 09/01/29<sup>(a)</sup> | 154 | &nbsp;&nbsp; 158443 |
| RPM International, Inc.<sup>(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 3.75%, 03/15/27 | 105 | &nbsp;&nbsp; 104099 |
| &nbsp;&nbsp;&nbsp; 2.95%, 01/15/32 | 227 | &nbsp;&nbsp; 204064 |
| Sherwin-Williams Co., 5.15%, 08/15/35<sup>(f)</sup> | 1400 | &nbsp;&nbsp; 1406971 |
| SK Invictus Intermediate II SARL, 5.00%, 10/30/29<sup>(a)</sup> | 286 | &nbsp;&nbsp; 278956 |
| Tronox, Inc.<sup>(a)(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.63%, 03/15/29 | 180 | &nbsp;&nbsp; 144127 |
| &nbsp;&nbsp;&nbsp; 9.13%, 09/30/30 | 156 | &nbsp;&nbsp; 155800 |
|  |  | &nbsp;&nbsp; 3670254 |
| **Commercial Services & Supplies — 0.9%** | **Commercial Services & Supplies — 0.9%** | **Commercial Services & Supplies — 0.9%** |
| ADT Security Corp., 5.88%, 10/15/33<sup>(a)</sup> | 74 | &nbsp;&nbsp; 71670 |
| Automatic Data Processing, Inc., 4.75%, 05/08/32 | 680 | &nbsp;&nbsp; 686975 |
| Belron U.K. Finance PLC, 5.75%, 10/15/29<sup>(a)</sup> | 136 | &nbsp;&nbsp; 136859 |
| CompoSecure Holdings LLC, 5.63%, 02/01/33<sup>(a)</sup> | 55 | &nbsp;&nbsp; 53732 |
| Deluxe Corp., 8.13%, 09/15/29<sup>(a)</sup> | 60 | &nbsp;&nbsp; 62285 |
| Ford Foundation |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020, 2.42%, 06/01/50<sup>(f)</sup> | 5 | &nbsp;&nbsp; 2947 |
| &nbsp;&nbsp;&nbsp; Series 2020, 2.82%, 06/01/70 | 30 | &nbsp;&nbsp; 16725 |
| FTAI Aviation Investors LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.88%, 12/01/30 | 93 | &nbsp;&nbsp; 97110 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/31 | 90 | &nbsp;&nbsp; 92262 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/15/32 | 176 | &nbsp;&nbsp; 180420 |
| Georgetown University, Series 20A, 2.94%, 04/01/50 | 27 | &nbsp;&nbsp; 17207 |
| Graham Holdings Co., 5.63%, 12/01/33<sup>(a)</sup> | 102 | &nbsp;&nbsp; 99922 |
| Massachusetts Institute of Technology, 3.07%, 04/01/52 | 264 | &nbsp;&nbsp; 176465 |
| Northwestern University, Series 2020, 2.64%, 12/01/50 | 266 | &nbsp;&nbsp; 163281 |
| &nbsp;&nbsp;&nbsp; President and Fellows of Harvard College, 2.52%, <br> 10/15/50<sup>(f)</sup><br>| 54 | &nbsp;&nbsp; 32502 |
| Quanta Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.90%, 10/01/30 | 890 | &nbsp;&nbsp; 825519 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Services & Supplies (continued)** | **Commercial Services & Supplies (continued)** | **Commercial Services & Supplies (continued)** |
| Quanta Services, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 5.10%, 08/09/35 | 360 | &nbsp;&nbsp; $355055 |
| &nbsp;&nbsp;&nbsp; 3.05%, 10/01/41 | 605 | &nbsp;&nbsp; 442359 |
| RELX Capital, Inc., 5.25%, 03/27/35 | 120 | &nbsp;&nbsp; 121409 |
| Rockefeller Foundation, Series 2020, 2.49%, 10/01/50<sup>(f)</sup> | 72 | &nbsp;&nbsp; 42979 |
| TR Finance LLC, 3.35%, 05/15/26 | 800 | &nbsp;&nbsp; 798688 |
| United Rentals North America, Inc., 5.38%, 11/15/33<sup>(a)</sup> | 57 | &nbsp;&nbsp; 55426 |
| University of Chicago |  |  |
| &nbsp;&nbsp;&nbsp; Series 20B, 2.76%, 04/01/45<sup>(f)</sup> | 148 | &nbsp;&nbsp; 115663 |
| &nbsp;&nbsp;&nbsp; Series C, 2.55%, 04/01/50 | 157 | &nbsp;&nbsp; 100848 |
| University of Southern California |  |  |
| &nbsp;&nbsp;&nbsp; 4.98%, 10/01/53<sup>(f)</sup> | 10 | &nbsp;&nbsp; 9134 |
| &nbsp;&nbsp;&nbsp; Series 21A, 2.95%, 10/01/51 | 190 | &nbsp;&nbsp; 121857 |
| Verisk Analytics, Inc., 4.13%, 03/15/29 | 1056 | &nbsp;&nbsp; 1050180 |
| Yale University, Series 2020, 2.40%, 04/15/50<sup>(f)</sup> | 272 | &nbsp;&nbsp; 159881 |
|  |  | &nbsp;&nbsp; 6089360 |
| **Communications Equipment — 0.3%** | **Communications Equipment — 0.3%** | **Communications Equipment — 0.3%** |
| Motorola Solutions, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 05/23/29 | 260 | &nbsp;&nbsp; 260369 |
| &nbsp;&nbsp;&nbsp; 5.40%, 04/15/34<sup>(f)</sup> | 625 | &nbsp;&nbsp; 632496 |
| &nbsp;&nbsp;&nbsp; 5.55%, 08/15/35 | 230 | &nbsp;&nbsp; 235150 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/44 | 927 | &nbsp;&nbsp; 885840 |
|  |  | &nbsp;&nbsp; 2013855 |
| **Construction & Engineering**<sup>(a)</sup> **— 0.1%** | **Construction & Engineering**<sup>(a)</sup> **— 0.1%** | **Construction & Engineering**<sup>(a)</sup> **— 0.1%** |
| AECOM, 6.00%, 08/01/33 | 66 | &nbsp;&nbsp; 65928 |
| HTA Group Ltd., 7.50%, 06/04/29 | 282 | &nbsp;&nbsp; 285525 |
| Tutor Perini Corp., 11.88%, 04/30/29 | 108 | &nbsp;&nbsp; 118309 |
|  |  | &nbsp;&nbsp; 469762 |
| **Consumer Finance — 1.3%** | **Consumer Finance — 1.3%** | **Consumer Finance — 1.3%** |
| American Express Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.05%, 05/03/29 | 186 | &nbsp;&nbsp; 185266 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.00%), 5.10%, 02/16/28<sup>(b)</sup> | 720 | &nbsp;&nbsp; 723921 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.24%), 4.80%, 10/24/36<sup>(b)</sup> | 390 | &nbsp;&nbsp; 377095 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.93%), 5.63%, 07/28/34<sup>(b)</sup> | 255 | &nbsp;&nbsp; 260598 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR Index + 1.32%), 5.44%, 01/30/36<sup>(b)</sup> | 1155 | &nbsp;&nbsp; 1175737 |
| Atlanticus Holdings Corp., 9.75%, 09/01/30<sup>(a)(f)</sup> | 147 | &nbsp;&nbsp; 132150 |
| Bread Financial Holdings, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.75%, 05/15/31 | 100 | &nbsp;&nbsp; 99225 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 4.30%), 8.38%, 06/15/35<sup>(b)(f)</sup> | 70 | &nbsp;&nbsp; 70775 |
| Capital One Financial Corp.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.56%), 5.46%, 07/26/30 | 960 | &nbsp;&nbsp; 979886 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.37%), 5.27%, 05/10/33 | 105 | &nbsp;&nbsp; 104797 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.64%), 6.31%, 06/08/29 | 93 | &nbsp;&nbsp; 96163 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR Index + 3.37%), 7.96%, 11/02/34 | 710 | &nbsp;&nbsp; 814262 |
| Enova International, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 11.25%, 12/15/28<sup>(f)</sup> | 132 | &nbsp;&nbsp; 139633 |
| &nbsp;&nbsp;&nbsp; 9.13%, 08/01/29 | 196 | &nbsp;&nbsp; 200524 |
| EZCORP, Inc., 7.38%, 04/01/32<sup>(a)</sup> | 55 | &nbsp;&nbsp; 57454 |
| Mastercard, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.55%, 01/15/35 | 385 | &nbsp;&nbsp; 378184 |
| &nbsp;&nbsp;&nbsp; 2.95%, 03/15/51 | 1580 | &nbsp;&nbsp; 1009971 |
| OneMain Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.63%, 05/15/29 | 115 | &nbsp;&nbsp; 115112 |
| &nbsp;&nbsp;&nbsp; 7.88%, 03/15/30 | 134 | &nbsp;&nbsp; 138285 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/15/31 | 251 | &nbsp;&nbsp; 252340 |
| &nbsp;&nbsp;&nbsp; 7.13%, 11/15/31 | 67 | &nbsp;&nbsp; 66383 |
| &nbsp;&nbsp;&nbsp; 6.75%, 09/15/33 | 44 | &nbsp;&nbsp; 42190 |
| S&P Global, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 09/15/33 | 95 | &nbsp;&nbsp; 97774 |
| &nbsp;&nbsp;&nbsp; 4.80%, 12/04/35<sup>(a)(f)</sup> | 285 | &nbsp;&nbsp; 279269 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Consumer Finance (continued)** | **Consumer Finance (continued)** | **Consumer Finance (continued)** |
| S&P Global, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 2.30%, 08/15/60<sup>(f)</sup> | 463 | &nbsp;&nbsp; $223676 |
| SLM Corp., 6.50%, 01/31/30 | 31 | &nbsp;&nbsp; 30433 |
| Synchrony Financial, 7.25%, 02/02/33 | 277 | &nbsp;&nbsp; 282923 |
| Visa, Inc., 3.65%, 09/15/47<sup>(f)</sup> | 385 | &nbsp;&nbsp; 293300 |
|  |  | &nbsp;&nbsp; 8627326 |
| **Consumer Staples Distribution & Retail — 0.5%** | **Consumer Staples Distribution & Retail — 0.5%** | **Consumer Staples Distribution & Retail — 0.5%** |
| Albertsons Cos, Inc., 5.75%, 03/31/34<sup>(a)</sup> | 111 | &nbsp;&nbsp; 108596 |
| Costco Wholesale Corp., 1.75%, 04/20/32<sup>(f)</sup> | 160 | &nbsp;&nbsp; 138286 |
| Kroger Co., 5.00%, 09/15/34 | 240 | &nbsp;&nbsp; 236967 |
| Pilgrim's Pride Corp., 3.50%, 03/01/32 | 1100 | &nbsp;&nbsp; 998519 |
| U.S. Foods, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.88%, 09/15/28 | 67 | &nbsp;&nbsp; 68478 |
| &nbsp;&nbsp;&nbsp; 7.25%, 01/15/32 | 125 | &nbsp;&nbsp; 129346 |
| &nbsp;&nbsp;&nbsp; 5.75%, 04/15/33 | 152 | &nbsp;&nbsp; 151324 |
| Walmart, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.90%, 04/28/35 | 1595 | &nbsp;&nbsp; 1617290 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/09/52 | 200 | &nbsp;&nbsp; 172441 |
|  |  | &nbsp;&nbsp; 3621247 |
| **Containers & Packaging — 0.2%** | **Containers & Packaging — 0.2%** | **Containers & Packaging — 0.2%** |
| &nbsp;&nbsp;&nbsp; Ardagh Group SA, (5.50% Cash + 6.50% PIK), 12.00%, <br> 12/01/30<sup>(a)(e)</sup><br>| 147 | &nbsp;&nbsp; 123531 |
| Packaging Corp. of America |  |  |
| &nbsp;&nbsp;&nbsp; 5.70%, 12/01/33 | 420 | &nbsp;&nbsp; 435755 |
| &nbsp;&nbsp;&nbsp; 4.05%, 12/15/49 | 900 | &nbsp;&nbsp; 686262 |
| &nbsp;&nbsp;&nbsp; Sealed Air Corp./Sealed Air Corp. U.S., 7.25%, <br> 02/15/31<sup>(a)</sup><br>| 140 | &nbsp;&nbsp; 146808 |
|  |  | &nbsp;&nbsp; 1392356 |
| **Distributors — 0.1%** | **Distributors — 0.1%** | **Distributors — 0.1%** |
| WW Grainger, Inc., 4.45%, 09/15/34 | 880 | &nbsp;&nbsp; 865337 |
| **Diversified REITs — 0.6%** | **Diversified REITs — 0.6%** | **Diversified REITs — 0.6%** |
| American Tower Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.80%, 11/15/28 | 280 | &nbsp;&nbsp; 288753 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/31/30 | 60 | &nbsp;&nbsp; 60699 |
| &nbsp;&nbsp;&nbsp; 5.40%, 01/31/35 | 70 | &nbsp;&nbsp; 70633 |
| ERP Operating LP, 4.65%, 09/15/34 | 330 | &nbsp;&nbsp; 321620 |
| GLP Capital LP/GLP Financing II, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.63%, 09/15/34 | 500 | &nbsp;&nbsp; 492195 |
| &nbsp;&nbsp;&nbsp; 5.75%, 11/01/37 | 200 | &nbsp;&nbsp; 193574 |
| Iron Mountain, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/15/29 | 90 | &nbsp;&nbsp; 91729 |
| &nbsp;&nbsp;&nbsp; 5.63%, 07/15/32 | 53 | &nbsp;&nbsp; 51451 |
| &nbsp;&nbsp;&nbsp; 6.25%, 01/15/33<sup>(f)</sup> | 198 | &nbsp;&nbsp; 197367 |
| Millrose Properties, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.38%, 08/01/30 | 137 | &nbsp;&nbsp; 136957 |
| &nbsp;&nbsp;&nbsp; 6.25%, 09/15/32 | 162 | &nbsp;&nbsp; 159020 |
| Prologis LP, 5.25%, 06/15/53<sup>(f)</sup> | 145 | &nbsp;&nbsp; 135118 |
| Rithm Capital Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.00%, 04/01/29 | 273 | &nbsp;&nbsp; 268204 |
| &nbsp;&nbsp;&nbsp; 8.00%, 07/15/30 | 90 | &nbsp;&nbsp; 86866 |
| VICI Properties LP |  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 04/01/34 | 930 | &nbsp;&nbsp; 938550 |
| &nbsp;&nbsp;&nbsp; 5.63%, 04/01/35 | 610 | &nbsp;&nbsp; 607153 |
| &nbsp;&nbsp;&nbsp; 5.63%, 05/15/52<sup>(f)</sup> | 77 | &nbsp;&nbsp; 68792 |
|  |  | &nbsp;&nbsp; 4168681 |
| **Diversified Telecommunication Services — 1.5%** | **Diversified Telecommunication Services — 1.5%** | **Diversified Telecommunication Services — 1.5%** |
| APLD ComputeCo LLC, 9.25%, 12/15/30<sup>(a)</sup> | 395 | &nbsp;&nbsp; 406977 |
| AT&T, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.55%, 11/01/32 | 2200 | &nbsp;&nbsp; 2162531 |
| &nbsp;&nbsp;&nbsp; 4.85%, 03/01/39 | 385 | &nbsp;&nbsp; 358558 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Diversified Telecommunication Services (continued)** | **Diversified Telecommunication Services (continued)** | **Diversified Telecommunication Services (continued)** |
| AT&T, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/30/56 | 870 | &nbsp;&nbsp; $851216 |
| Cisco Systems, Inc., 4.95%, 02/24/32 | 1000 | &nbsp;&nbsp; 1020520 |
| &nbsp;&nbsp;&nbsp; Connect Finco SARL/Connect U.S. Finco LLC, 9.00%, <br> 09/15/29<sup>(a)</sup><br>| 352 | &nbsp;&nbsp; 369790 |
| EchoStar Corp. |  |  |
| &nbsp;&nbsp;&nbsp; (6.75% Cash or 6.75% PIK), 6.75%, 11/30/30<sup>(e)</sup> | 360 | &nbsp;&nbsp; 363513 |
| &nbsp;&nbsp;&nbsp; 10.75%, 11/30/29 | 325 | &nbsp;&nbsp; 351081 |
| Flash Compute LLC, 7.25%, 12/31/30<sup>(a)</sup> | 40 | &nbsp;&nbsp; 40272 |
| GCI LLC, 4.75%, 10/15/28<sup>(a)</sup> | 116 | &nbsp;&nbsp; 112261 |
| Level 3 Financing, Inc., 6.88%, 06/30/33<sup>(a)</sup> | 293 | &nbsp;&nbsp; 298640 |
| Sprint Capital Corp., 8.75%, 03/15/32 | 740 | &nbsp;&nbsp; 879912 |
| Telecom Italia Capital SA |  |  |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/30/34<sup>(f)</sup> | 70 | &nbsp;&nbsp; 71127 |
| &nbsp;&nbsp;&nbsp; 7.20%, 07/18/36 | 91 | &nbsp;&nbsp; 98272 |
| &nbsp;&nbsp;&nbsp; 7.72%, 06/04/38 | 92 | &nbsp;&nbsp; 102459 |
| Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 04/02/35 | 910 | &nbsp;&nbsp; 911122 |
| &nbsp;&nbsp;&nbsp; 5.40%, 07/02/37 | 812 | &nbsp;&nbsp; 809039 |
| &nbsp;&nbsp;&nbsp; 5.88%, 11/30/55 | 55 | &nbsp;&nbsp; 53497 |
| Viasat, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/28 | 95 | &nbsp;&nbsp; 93869 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/30/31 | 329 | &nbsp;&nbsp; 325120 |
| WULF Compute LLC, 7.75%, 10/15/30<sup>(a)(f)</sup> | 220 | &nbsp;&nbsp; 232470 |
|  |  | &nbsp;&nbsp; 9912246 |
| **Electric Utilities — 2.7%** | **Electric Utilities — 2.7%** | **Electric Utilities — 2.7%** |
| AEP Texas, Inc., 5.25%, 05/15/52 | 140 | &nbsp;&nbsp; 124876 |
| AEP Texas, Inc., RB, Series I, 2.10%, 07/01/30 | 260 | &nbsp;&nbsp; 235312 |
| AEP Transmission Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp; 3.15%, 09/15/49 | 30 | &nbsp;&nbsp; 19726 |
| &nbsp;&nbsp;&nbsp; Series O, 4.50%, 06/15/52 | 130 | &nbsp;&nbsp; 106868 |
| Alabama Power Co., 3.45%, 10/01/49 | 370 | &nbsp;&nbsp; 257163 |
| Alpha Generation LLC, 6.25%, 01/15/34<sup>(a)</sup> | 29 | &nbsp;&nbsp; 28488 |
| Ameren Illinois Co., 5.55%, 07/01/54 | 75 | &nbsp;&nbsp; 72084 |
| Appalachian Power Co., Series X, 3.30%, 06/01/27 | 90 | &nbsp;&nbsp; 88803 |
| Arizona Public Service Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.95%, 09/15/27 | 300 | &nbsp;&nbsp; 293488 |
| &nbsp;&nbsp;&nbsp; 5.70%, 08/15/34 | 50 | &nbsp;&nbsp; 51747 |
| Atlantic City Electric Co., 2.30%, 03/15/31 | 370 | &nbsp;&nbsp; 333319 |
| Baltimore Gas and Electric Co., 2.90%, 06/15/50<sup>(f)</sup> | 170 | &nbsp;&nbsp; 106834 |
| Berkshire Hathaway Energy Co., 4.45%, 01/15/49 | 200 | &nbsp;&nbsp; 162242 |
| Black Hills Corp., 6.00%, 01/15/35 | 150 | &nbsp;&nbsp; 155714 |
| CenterPoint Energy Houston Electric LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.20%, 10/01/28 | 30 | &nbsp;&nbsp; 30662 |
| &nbsp;&nbsp;&nbsp; Series AH, 3.60%, 03/01/52 | 55 | &nbsp;&nbsp; 39370 |
| &nbsp;&nbsp;&nbsp; Series AJ, 4.85%, 10/01/52 | 75 | &nbsp;&nbsp; 65788 |
| &nbsp;&nbsp;&nbsp; Series AQ, 4.95%, 08/15/35 | 125 | &nbsp;&nbsp; 123664 |
| Commonwealth Edison Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.20%, 03/01/30 | 190 | &nbsp;&nbsp; 174568 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/49 | 90 | &nbsp;&nbsp; 68763 |
| &nbsp;&nbsp;&nbsp; Series 130, 3.13%, 03/15/51 | 70 | &nbsp;&nbsp; 45292 |
| Connecticut Light and Power Co., 4.95%, 01/15/30 | 80 | &nbsp;&nbsp; 81341 |
| Consolidated Edison Co. of New York, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.70%, 05/15/54 | 130 | &nbsp;&nbsp; 127363 |
| &nbsp;&nbsp;&nbsp; Series 2006-A, 5.85%, 03/15/36 | 500 | &nbsp;&nbsp; 527539 |
| Constellation Energy Generation LLC, 5.80%, 03/01/33 | 175 | &nbsp;&nbsp; 183284 |
| Consumers Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 05/30/29 | 50 | &nbsp;&nbsp; 50347 |
| &nbsp;&nbsp;&nbsp; 4.63%, 05/15/33<sup>(f)</sup> | 110 | &nbsp;&nbsp; 108934 |
| &nbsp;&nbsp;&nbsp; 2.65%, 08/15/52 | 72 | &nbsp;&nbsp; 43057 |
| &nbsp;&nbsp;&nbsp; 4.20%, 09/01/52 | 60 | &nbsp;&nbsp; 47413 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
| Dominion Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.38%, 11/15/32 | $140 | &nbsp;&nbsp; $143235 |
| &nbsp;&nbsp;&nbsp; Series C, 3.38%, 04/01/30 | 58 | &nbsp;&nbsp; 55378 |
| DTE Electric Co., Series B, 3.65%, 03/01/52 | 217 | &nbsp;&nbsp; 157040 |
| Duke Energy Carolinas LLC, 5.35%, 01/15/53 | 100 | &nbsp;&nbsp; 93692 |
| Duke Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 09/01/26 | 300 | &nbsp;&nbsp; 297898 |
| &nbsp;&nbsp;&nbsp; 4.85%, 01/05/29 | 180 | &nbsp;&nbsp; 182206 |
| &nbsp;&nbsp;&nbsp; 4.20%, 06/15/49 | 530 | &nbsp;&nbsp; 403686 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/52 | 60 | &nbsp;&nbsp; 51341 |
| Duke Energy Florida LLC, 5.88%, 11/15/33 | 85 | &nbsp;&nbsp; 90244 |
| Duke Energy Indiana LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 03/01/34<sup>(f)</sup> | 60 | &nbsp;&nbsp; 61446 |
| &nbsp;&nbsp;&nbsp; 5.40%, 04/01/53 | 20 | &nbsp;&nbsp; 18569 |
| Duke Energy Ohio, Inc., 4.30%, 02/01/49 | 100 | &nbsp;&nbsp; 79880 |
| Duke Energy Progress LLC, 5.10%, 03/15/34 | 50 | &nbsp;&nbsp; 50958 |
| Entergy Arkansas LLC, 5.75%, 06/01/54 | 30 | &nbsp;&nbsp; 29300 |
| Entergy Louisiana LLC, 5.65%, 04/15/56 | 295 | &nbsp;&nbsp; 283395 |
| Entergy Mississippi LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/33 | 180 | &nbsp;&nbsp; 180698 |
| &nbsp;&nbsp;&nbsp; 5.85%, 06/01/54 | 40 | &nbsp;&nbsp; 39231 |
| Entergy Texas, Inc., 3.55%, 09/30/49 | 220 | &nbsp;&nbsp; 153882 |
| Evergy Kansas Central, Inc., 3.45%, 04/15/50 | 130 | &nbsp;&nbsp; 90626 |
| Evergy Metro, Inc., 5.40%, 04/01/34 | 35 | &nbsp;&nbsp; 35959 |
| Evergy, Inc., 2.90%, 09/15/29 | 50 | &nbsp;&nbsp; 47388 |
| Eversource Energy, Series M, 3.30%, 01/15/28 | 200 | &nbsp;&nbsp; 195860 |
| Exelon Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.15%, 03/15/29 | 45 | &nbsp;&nbsp; 45865 |
| &nbsp;&nbsp;&nbsp; 5.60%, 03/15/53 | 70 | &nbsp;&nbsp; 65931 |
| FirstEnergy Transmission LLC, 5.00%, 01/15/35 | 25 | &nbsp;&nbsp; 24617 |
| Florida Power & Light Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 05/15/33 | 55 | &nbsp;&nbsp; 55037 |
| &nbsp;&nbsp;&nbsp; 4.05%, 10/01/44 | 300 | &nbsp;&nbsp; 243766 |
| &nbsp;&nbsp;&nbsp; 3.15%, 10/01/49 | 40 | &nbsp;&nbsp; 26774 |
| &nbsp;&nbsp;&nbsp; 2.88%, 12/04/51 | 90 | &nbsp;&nbsp; 55967 |
| &nbsp;&nbsp;&nbsp; 5.60%, 02/15/66 | 55 | &nbsp;&nbsp; 52984 |
| Georgia Power Co., 4.85%, 03/15/31 | 300 | &nbsp;&nbsp; 303730 |
| Idaho Power Co., 5.80%, 04/01/54 | 70 | &nbsp;&nbsp; 69787 |
| Indiana Michigan Power Co., 5.63%, 04/01/53 | 50 | &nbsp;&nbsp; 48128 |
| Interstate Power and Light Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.30%, 06/01/30 | 20 | &nbsp;&nbsp; 18277 |
| &nbsp;&nbsp;&nbsp; 5.60%, 06/29/35 | 20 | &nbsp;&nbsp; 20490 |
| Kentucky Utilities Co., 3.30%, 06/01/50 | 60 | &nbsp;&nbsp; 40290 |
| MidAmerican Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.10%, 05/01/27<sup>(f)</sup> | 100 | &nbsp;&nbsp; 99002 |
| &nbsp;&nbsp;&nbsp; 3.15%, 04/15/50 | 60 | &nbsp;&nbsp; 39680 |
| &nbsp;&nbsp;&nbsp; 2.70%, 08/01/52 | 105 | &nbsp;&nbsp; 63126 |
| National Grid PLC, 5.42%, 01/11/34<sup>(f)</sup> | 90 | &nbsp;&nbsp; 91712 |
| National Rural Utilities Cooperative Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.70%, 03/15/29<sup>(f)</sup> | 330 | &nbsp;&nbsp; 323660 |
| &nbsp;&nbsp;&nbsp; 5.15%, 06/15/29 | 80 | &nbsp;&nbsp; 81710 |
| Nevada Power Co., 6.00%, 03/15/54 | 90 | &nbsp;&nbsp; 90126 |
| NextEra Energy Capital Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.55%, 05/01/27 | 245 | &nbsp;&nbsp; 242866 |
| &nbsp;&nbsp;&nbsp; 2.25%, 06/01/30 | 200 | &nbsp;&nbsp; 182252 |
| &nbsp;&nbsp;&nbsp; 4.40%, 03/01/31 | 200 | &nbsp;&nbsp; 198207 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/32 | 50 | &nbsp;&nbsp; 50348 |
| &nbsp;&nbsp;&nbsp; 5.55%, 03/15/54 | 80 | &nbsp;&nbsp; 75202 |
| Northern States Power Co. |  |  |
| &nbsp;&nbsp;&nbsp; 5.40%, 03/15/54<sup>(f)</sup> | 85 | &nbsp;&nbsp; 80558 |
| &nbsp;&nbsp;&nbsp; 5.65%, 06/15/54 | 70 | &nbsp;&nbsp; 68725 |
| NSTAR Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.10%, 06/01/51 | 110 | &nbsp;&nbsp; 71609 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
| NSTAR Electric Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 4.95%, 09/15/52 | $90 | &nbsp;&nbsp; $79658 |
| Oglethorpe Power Corp., 6.20%, 12/01/53 | 65 | &nbsp;&nbsp; 66161 |
| Ohio Power Co., 5.65%, 06/01/34<sup>(f)</sup> | 150 | &nbsp;&nbsp; 154030 |
| Oklahoma Gas and Electric Co., 5.60%, 04/01/53 | 65 | &nbsp;&nbsp; 62328 |
| Oncor Electric Delivery Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp; 3.80%, 06/01/49 | 120 | &nbsp;&nbsp; 87870 |
| &nbsp;&nbsp;&nbsp; 4.60%, 06/01/52 | 40 | &nbsp;&nbsp; 32708 |
| &nbsp;&nbsp;&nbsp; 4.95%, 09/15/52 | 70 | &nbsp;&nbsp; 61482 |
| Pacific Gas and Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/15/28 | 100 | &nbsp;&nbsp; 96749 |
| &nbsp;&nbsp;&nbsp; 4.55%, 07/01/30 | 65 | &nbsp;&nbsp; 64119 |
| &nbsp;&nbsp;&nbsp; 6.95%, 03/15/34 | 10 | &nbsp;&nbsp; 10951 |
| &nbsp;&nbsp;&nbsp; 3.30%, 08/01/40 | 90 | &nbsp;&nbsp; 67308 |
| &nbsp;&nbsp;&nbsp; 4.95%, 07/01/50 | 270 | &nbsp;&nbsp; 223662 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/50 | 190 | &nbsp;&nbsp; 125626 |
| &nbsp;&nbsp;&nbsp; 6.75%, 01/15/53 | 70 | &nbsp;&nbsp; 72631 |
| &nbsp;&nbsp;&nbsp; 5.90%, 10/01/54 | 95 | &nbsp;&nbsp; 88526 |
| PacifiCorp, 4.13%, 01/15/49 | 280 | &nbsp;&nbsp; 205264 |
| PECO Energy Co., 3.05%, 03/15/51 | 70 | &nbsp;&nbsp; 45326 |
| PG&E Corp., 5.00%, 07/01/28 | 138 | &nbsp;&nbsp; 136920 |
| PPL Electric Utilities Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.85%, 02/15/34 | 145 | &nbsp;&nbsp; 144493 |
| &nbsp;&nbsp;&nbsp; 5.25%, 05/15/53<sup>(f)</sup> | 130 | &nbsp;&nbsp; 120492 |
| Public Service Co. of Colorado |  |  |
| &nbsp;&nbsp;&nbsp; 4.05%, 09/15/49 | 20 | &nbsp;&nbsp; 15350 |
| &nbsp;&nbsp;&nbsp; 5.75%, 05/15/54 | 130 | &nbsp;&nbsp; 126278 |
| Public Service Co. of Oklahoma, 5.20%, 01/15/35 | 150 | &nbsp;&nbsp; 149208 |
| Public Service Electric and Gas Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.10%, 03/15/32 | 85 | &nbsp;&nbsp; 78270 |
| &nbsp;&nbsp;&nbsp; 5.20%, 03/01/34 | 295 | &nbsp;&nbsp; 300010 |
| &nbsp;&nbsp;&nbsp; 2.05%, 08/01/50 | 105 | &nbsp;&nbsp; 55445 |
| Puget Sound Energy, Inc., 5.45%, 06/01/53 | 100 | &nbsp;&nbsp; 94617 |
| San Diego Gas & Electric Co., 5.35%, 04/01/53 | 95 | &nbsp;&nbsp; 87398 |
| Sempra |  |  |
| &nbsp;&nbsp;&nbsp; 3.70%, 04/01/29 | 140 | &nbsp;&nbsp; 136744 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/33 | 100 | &nbsp;&nbsp; 102978 |
| Southern California Edison Co. |  |  |
| &nbsp;&nbsp;&nbsp; 5.45%, 06/01/31<sup>(f)</sup> | 240 | &nbsp;&nbsp; 245507 |
| &nbsp;&nbsp;&nbsp; 3.65%, 02/01/50<sup>(f)</sup> | 100 | &nbsp;&nbsp; 68587 |
| &nbsp;&nbsp;&nbsp; 5.75%, 04/15/54 | 20 | &nbsp;&nbsp; 18563 |
| &nbsp;&nbsp;&nbsp; Series C, 4.13%, 03/01/48 | 370 | &nbsp;&nbsp; 276925 |
| Southern Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.25%, 07/01/26 | 350 | &nbsp;&nbsp; 349334 |
| &nbsp;&nbsp;&nbsp; 5.70%, 03/15/34<sup>(f)</sup> | 185 | &nbsp;&nbsp; 191703 |
| System Energy Resources, Inc., 5.30%, 12/15/34 | 820 | &nbsp;&nbsp; 817850 |
| Talen Energy Supply LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 02/01/34 | 185 | &nbsp;&nbsp; 182939 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/36<sup>(f)</sup> | 205 | &nbsp;&nbsp; 206421 |
| Tampa Electric Co.<sup>(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.15%, 03/01/35 | 755 | &nbsp;&nbsp; 757170 |
| &nbsp;&nbsp;&nbsp; 3.45%, 03/15/51 | 35 | &nbsp;&nbsp; 24213 |
| Tucson Electric Power Co. |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 08/01/30 | 90 | &nbsp;&nbsp; 79007 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/53 | 30 | &nbsp;&nbsp; 27992 |
| Union Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/48 | 230 | &nbsp;&nbsp; 177585 |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/15/53 | 10 | &nbsp;&nbsp; 9452 |
| Virginia Electric and Power Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.30%, 12/01/49 | 190 | &nbsp;&nbsp; 127475 |
| &nbsp;&nbsp;&nbsp; 5.35%, 01/15/54 | 195 | &nbsp;&nbsp; 179619 |
| &nbsp;&nbsp;&nbsp; 5.65%, 03/15/55 | 40 | &nbsp;&nbsp; 38291 |
| &nbsp;&nbsp;&nbsp; 5.70%, 03/15/56 | 40 | &nbsp;&nbsp; 38584 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
| Virginia Electric and Power Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; Series A, 3.80%, 04/01/28 | 750 | &nbsp;&nbsp; $742593 |
| &nbsp;&nbsp;&nbsp; Series D, 5.60%, 09/15/55<sup>(f)</sup> | 65 | &nbsp;&nbsp; 61859 |
| Wisconsin Electric Power Co., 4.75%, 09/30/32<sup>(f)</sup> | 20 | &nbsp;&nbsp; 20083 |
| Wisconsin Power and Light Co., 5.38%, 03/30/34 | 90 | &nbsp;&nbsp; 91361 |
| Wisconsin Public Service Corp., 3.30%, 09/01/49 | 85 | &nbsp;&nbsp; 58140 |
| Xcel Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/28<sup>(f)</sup> | 900 | &nbsp;&nbsp; 894358 |
| &nbsp;&nbsp;&nbsp; 5.45%, 08/15/33 | 100 | &nbsp;&nbsp; 102073 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/49 | 50 | &nbsp;&nbsp; 34879 |
|  |  | &nbsp;&nbsp; 18241552 |
| **Electronic Equipment, Instruments & Components — 0.5%** | **Electronic Equipment, Instruments & Components — 0.5%** | **Electronic Equipment, Instruments & Components — 0.5%** |
| Allegion PLC, 3.50%, 10/01/29 | 90 | &nbsp;&nbsp; 86683 |
| Arrow Electronics, Inc., 5.88%, 04/10/34 | 880 | &nbsp;&nbsp; 902095 |
| Honeywell International, Inc., 4.50%, 01/15/34 | 750 | &nbsp;&nbsp; 737843 |
| Jabil, Inc., 1.70%, 04/15/26 | 1055 | &nbsp;&nbsp; 1053648 |
| Keysight Technologies, Inc., 4.95%, 10/15/34 | 325 | &nbsp;&nbsp; 321600 |
|  |  | &nbsp;&nbsp; 3101869 |
| **Energy Equipment & Services — 0.2%** | **Energy Equipment & Services — 0.2%** | **Energy Equipment & Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; Archrock Services LP/Archrock Partners Finance Corp., <br> 6.00%, 02/01/34<sup>(a)</sup><br>| 40 | &nbsp;&nbsp; 39603 |
| &nbsp;&nbsp;&nbsp; Baker Hughes Holdings LLC/Baker Hughes Co-Obligor, <br> Inc., 5.85%, 06/15/56<br>| 505 | &nbsp;&nbsp; 494164 |
| Bristow Group, Inc., 6.75%, 02/01/33<sup>(a)</sup> | 213 | &nbsp;&nbsp; 215288 |
| Kodiak Gas Services LLC, 5.88%, 04/01/31<sup>(a)</sup> | 55 | &nbsp;&nbsp; 55272 |
| Tidewater, Inc., 9.13%, 07/15/30<sup>(a)</sup> | 269 | &nbsp;&nbsp; 286574 |
| &nbsp;&nbsp;&nbsp; USA Compression Partners LP/USA Compression <br> Finance Corp., 7.13%, 03/15/29<sup>(a)</sup><br>| 91 | &nbsp;&nbsp; 93109 |
| Viridien, 10.00%, 10/15/30<sup>(a)</sup> | 150 | &nbsp;&nbsp; 159636 |
| Weatherford International Ltd., 6.75%, 10/15/33<sup>(a)</sup> | 65 | &nbsp;&nbsp; 66415 |
|  |  | &nbsp;&nbsp; 1410061 |
| **Entertainment — 0.1%** | **Entertainment — 0.1%** | **Entertainment — 0.1%** |
| Discovery Global Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.05%, 03/15/29 | 125 | &nbsp;&nbsp; 120937 |
| &nbsp;&nbsp;&nbsp; 4.28%, 03/15/32 | 217 | &nbsp;&nbsp; 188891 |
| &nbsp;&nbsp;&nbsp; 5.05%, 03/15/42<sup>(f)</sup> | 275 | &nbsp;&nbsp; 181172 |
| &nbsp;&nbsp;&nbsp; 5.14%, 03/15/52 | 102 | &nbsp;&nbsp; 61965 |
| Light & Wonder International, Inc., 7.50%, 09/01/31<sup>(a)</sup> | 198 | &nbsp;&nbsp; 203207 |
| &nbsp;&nbsp;&nbsp; Resorts World Las Vegas LLC/RWLV Capital, Inc., <br> 8.45%, 07/27/30<sup>(a)</sup><br>| 72 | &nbsp;&nbsp; 68726 |
|  |  | &nbsp;&nbsp; 824898 |
| **Environmental, Maintenance & Security Service — 0.4%** | **Environmental, Maintenance & Security Service — 0.4%** | **Environmental, Maintenance & Security Service — 0.4%** |
| Republic Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 07/15/30<sup>(f)</sup> | 115 | &nbsp;&nbsp; 116472 |
| &nbsp;&nbsp;&nbsp; 5.20%, 11/15/34 | 570 | &nbsp;&nbsp; 581769 |
| Waste Connections, Inc.<sup>(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 2.60%, 02/01/30 | 305 | &nbsp;&nbsp; 286991 |
| &nbsp;&nbsp;&nbsp; 5.25%, 09/01/35 | 1070 | &nbsp;&nbsp; 1091729 |
| Waste Management, Inc., 4.95%, 07/03/31 | 915 | &nbsp;&nbsp; 935870 |
|  |  | &nbsp;&nbsp; 3012831 |
| **Financial Services — 5.0%** | **Financial Services — 5.0%** | **Financial Services — 5.0%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation <br> Trust, 4.95%, 09/10/34<br>| 1300 | &nbsp;&nbsp; 1263499 |
| &nbsp;&nbsp;&nbsp; Ally Financial, Inc., (5-year CMT + 2.45%), 6.65%, <br> 01/17/40<sup>(b)</sup><br>| 28 | &nbsp;&nbsp; 27027 |
| Banco Santander SA |  |  |
| &nbsp;&nbsp;&nbsp; 5.59%, 08/08/28 | 1800 | &nbsp;&nbsp; 1843781 |
| &nbsp;&nbsp;&nbsp; (1-year CMT + 0.90%), 1.72%, 09/14/27<sup>(b)</sup> | 400 | &nbsp;&nbsp; 394896 |
| Bank of America Corp.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 0.96%), 1.73%, 07/22/27 | 830 | &nbsp;&nbsp; 823066 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Financial Services (continued)** | **Financial Services (continued)** | **Financial Services (continued)** |
| Bank of America Corp.<sup>(b)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.05%), 2.55%, 02/04/28 | $225 | &nbsp;&nbsp; $221570 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.31%), 5.51%, 01/24/36 | 1370 | &nbsp;&nbsp; 1397099 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.65%), 5.47%, 01/23/35 | 325 | &nbsp;&nbsp; 331760 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.70%), 5.74%, 02/12/36 | 780 | &nbsp;&nbsp; 793471 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.99%), 6.20%, 11/10/28 | 735 | &nbsp;&nbsp; 755061 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.04%), 4.95%, 07/22/28 | 775 | &nbsp;&nbsp; 780005 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 3.41%), 4.08%, 03/20/51 | 91 | &nbsp;&nbsp; 70389 |
| Brookfield Capital Finance LLC, 6.09%, 06/14/33 | 145 | &nbsp;&nbsp; 151224 |
| Brookfield Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.68%, 01/15/35 | 500 | &nbsp;&nbsp; 504307 |
| &nbsp;&nbsp;&nbsp; 5.33%, 01/15/36 | 275 | &nbsp;&nbsp; 269259 |
| Burford Capital Global Finance LLC, 9.25%, 07/01/31<sup>(a)</sup> | 137 | &nbsp;&nbsp; 123643 |
| Citigroup, Inc.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.14%), 4.64%, 05/07/28 | 270 | &nbsp;&nbsp; 270447 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.83%), 6.02%, 01/24/36 | 283 | &nbsp;&nbsp; 288923 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.11%), 2.57%, 06/03/31 | 2285 | &nbsp;&nbsp; 2094614 |
| Coinbase Global, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 3.38%, 10/01/28 | 312 | &nbsp;&nbsp; 292044 |
| &nbsp;&nbsp;&nbsp; 3.63%, 10/01/31<sup>(f)</sup> | 81 | &nbsp;&nbsp; 68457 |
| Credit Acceptance Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.25%, 12/15/28 | 137 | &nbsp;&nbsp; 141957 |
| &nbsp;&nbsp;&nbsp; 6.63%, 03/15/30 | 41 | &nbsp;&nbsp; 40043 |
| Encore Capital Group, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.50%, 05/15/30 | 185 | &nbsp;&nbsp; 195603 |
| &nbsp;&nbsp;&nbsp; 6.63%, 04/15/31 | 195 | &nbsp;&nbsp; 194025 |
| Freedom Mortgage Holdings LLC, 8.38%, 04/01/32<sup>(a)</sup> | 40 | &nbsp;&nbsp; 39348 |
| Goldman Sachs Group, Inc.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.09%), 1.99%, 01/27/32 | 1073 | &nbsp;&nbsp; 941700 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.25%), 2.38%, 07/21/32 | 1295 | &nbsp;&nbsp; 1143192 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.28%), 2.62%, 04/22/32 | 1377 | &nbsp;&nbsp; 1236895 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.42%), 5.02%, 10/23/35 | 1530 | &nbsp;&nbsp; 1501701 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.69%), 4.41%, 04/23/39 | 370 | &nbsp;&nbsp; 331364 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 1.18%), 5.39%, 02/02/41 | 620 | &nbsp;&nbsp; 599013 |
| HSBC Holdings PLC<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.29%), 5.29%, 11/19/30 | 735 | &nbsp;&nbsp; 748341 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.43%), 5.13%, 11/06/36 | 485 | &nbsp;&nbsp; 474405 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.56%), 5.45%, 03/03/36<sup>(f)</sup> | 570 | &nbsp;&nbsp; 571661 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.90%), 5.87%, 11/18/35<sup>(f)</sup> | 570 | &nbsp;&nbsp; 577384 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.87%), 3.97%, 05/22/30 | 1740 | &nbsp;&nbsp; 1703599 |
| Intercontinental Exchange, Inc., 3.00%, 09/15/60 | 180 | &nbsp;&nbsp; 102968 |
| JPMorgan Chase & Co.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 0.80%), 4.92%, 01/24/29 | 1720 | &nbsp;&nbsp; 1734649 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.26%), 2.96%, 01/25/33 | 415 | &nbsp;&nbsp; 376497 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.34%), 4.95%, 10/22/35 | 805 | &nbsp;&nbsp; 796170 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.64%), 5.58%, 07/23/36 | 320 | &nbsp;&nbsp; 324066 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.99%), 4.85%, 07/25/28 | 665 | &nbsp;&nbsp; 668273 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 2.08%), 4.91%, 07/25/33 | 470 | &nbsp;&nbsp; 470324 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.11%), 1.76%, 11/19/31 | 580 | &nbsp;&nbsp; 509171 |
| &nbsp;&nbsp;&nbsp; (3-mo. CME Term SOFR + 1.25%), 2.58%, 04/22/32 | 1063 | &nbsp;&nbsp; 960591 |
| Mitsubishi UFJ Financial Group, Inc.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (1-year CMT + 0.95%), 2.31%, 07/20/32<sup>(f)</sup> | 425 | &nbsp;&nbsp; 374352 |
| &nbsp;&nbsp;&nbsp; (1-year CMT + 0.97%), 2.49%, 10/13/32 | 315 | &nbsp;&nbsp; 278346 |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc., (1-year CMT + 1.90%), <br> 5.75%, 07/06/34<sup>(b)</sup><br>| 590 | &nbsp;&nbsp; 612863 |
| Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp; 4.30%, 01/27/45 | 233 | &nbsp;&nbsp; 192664 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.03%), 1.79%, 02/13/32<sup>(b)</sup> | 415 | &nbsp;&nbsp; 359364 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.14%), 2.70%, 01/22/31<sup>(b)</sup> | 65 | &nbsp;&nbsp; 60354 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.20%), 2.51%, 10/20/32<sup>(b)(f)</sup> | 210 | &nbsp;&nbsp; 185418 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.42%), 5.59%, 01/18/36<sup>(b)</sup> | 525 | &nbsp;&nbsp; 535251 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.45%), 5.17%, 01/16/30<sup>(b)</sup> | 140 | &nbsp;&nbsp; 141969 |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.58%), 5.83%, 04/19/35<sup>(b)</sup> | 205 | &nbsp;&nbsp; 212829 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Financial Services (continued)** | **Financial Services (continued)** | **Financial Services (continued)** |
| Morgan Stanley (continued) |  |  |
| &nbsp;&nbsp;&nbsp; (1-day SOFR + 1.73%), 5.47%, 01/18/35<sup>(b)</sup> | 55 | &nbsp;&nbsp; $55909 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 2.43%), 5.95%, 01/19/38<sup>(b)</sup> | 265 | &nbsp;&nbsp; 271469 |
| Nasdaq, Inc., 3.85%, 06/30/26 | 32 | &nbsp;&nbsp; 31987 |
| PennyMac Financial Services, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.13%, 11/15/30 | 86 | &nbsp;&nbsp; 85465 |
| &nbsp;&nbsp;&nbsp; 6.88%, 05/15/32 | 97 | &nbsp;&nbsp; 93604 |
| Rocket Cos., Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/29 | 85 | &nbsp;&nbsp; 85957 |
| &nbsp;&nbsp;&nbsp; 6.13%, 08/01/30 | 105 | &nbsp;&nbsp; 105969 |
| &nbsp;&nbsp;&nbsp; 7.13%, 02/01/32 | 182 | &nbsp;&nbsp; 187593 |
| &nbsp;&nbsp;&nbsp; UBS Group AG, (1-day SOFR + 1.73%), 3.09%, <br> 05/14/32<sup>(a)(b)</sup><br>| 240 | &nbsp;&nbsp; 220098 |
| UWM Holdings LLC, 6.63%, 02/01/30<sup>(a)</sup> | 75 | &nbsp;&nbsp; 70738 |
| Velocity Commercial Capital LLC, 9.38%, 02/15/31<sup>(a)(f)</sup> | 85 | &nbsp;&nbsp; 84938 |
|  |  | &nbsp;&nbsp; 33394619 |
| **Food Products**<sup>(a)</sup> **— 0.0%** | **Food Products**<sup>(a)</sup> **— 0.0%** | **Food Products**<sup>(a)</sup> **— 0.0%** |
| Post Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.38%, 03/01/33 | 264 | &nbsp;&nbsp; 260077 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/36 | 74 | &nbsp;&nbsp; 72470 |
|  |  | &nbsp;&nbsp; 332547 |
| **Ground Transportation — 0.2%** | **Ground Transportation — 0.2%** | **Ground Transportation — 0.2%** |
| Burlington Northern Santa Fe LLC, 3.05%, 02/15/51 | 383 | &nbsp;&nbsp; 247058 |
| CSX Corp.<sup>(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 2.60%, 11/01/26 | 800 | &nbsp;&nbsp; 792790 |
| &nbsp;&nbsp;&nbsp; 4.90%, 03/15/55 | 55 | &nbsp;&nbsp; 48604 |
|  |  | &nbsp;&nbsp; 1088452 |
| **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** |
| Abbott Laboratories, 4.90%, 11/30/46<sup>(f)</sup> | 265 | &nbsp;&nbsp; 243249 |
| Bausch & Lomb Corp., 8.38%, 10/01/28<sup>(a)</sup> | 140 | &nbsp;&nbsp; 144550 |
| Insulet Corp., 6.50%, 04/01/33<sup>(a)</sup> | 89 | &nbsp;&nbsp; 90843 |
| Zimmer Biomet Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.70%, 02/19/27 | 50 | &nbsp;&nbsp; 50146 |
| &nbsp;&nbsp;&nbsp; 5.35%, 12/01/28 | 160 | &nbsp;&nbsp; 163673 |
|  |  | &nbsp;&nbsp; 692461 |
| **Health Care Providers & Services — 1.2%** | **Health Care Providers & Services — 1.2%** | **Health Care Providers & Services — 1.2%** |
| Allina Health System, Series 2021, 2.90%, 11/15/51<sup>(f)</sup> | 230 | &nbsp;&nbsp; 144030 |
| Banner Health, Series 2020, 3.18%, 01/01/50 | 119 | &nbsp;&nbsp; 81341 |
| &nbsp;&nbsp;&nbsp; Baylor Scott & White Holdings, Series 2021, 2.84%, <br> 11/15/50<br>| 92 | &nbsp;&nbsp; 57352 |
| &nbsp;&nbsp;&nbsp; Beth Israel Lahey Health, Inc., Series L, 3.08%, <br> 07/01/51<sup>(f)</sup><br>| 169 | &nbsp;&nbsp; 109672 |
| CommonSpirit Health, 3.91%, 10/01/50 | 339 | &nbsp;&nbsp; 248561 |
| DaVita, Inc., 6.88%, 09/01/32<sup>(a)</sup> | 169 | &nbsp;&nbsp; 173128 |
| Fortrea Holdings, Inc., 7.50%, 07/01/30<sup>(a)(f)</sup> | 50 | &nbsp;&nbsp; 47385 |
| &nbsp;&nbsp;&nbsp; Fred Hutchinson Cancer Center, Series 2022, 4.97%, <br> 01/01/52<br>| 130 | &nbsp;&nbsp; 117176 |
| &nbsp;&nbsp;&nbsp; Hackensack Meridian Health, Inc., Series 2020, 2.88%, <br> 09/01/50<sup>(f)</sup><br>| 58 | &nbsp;&nbsp; 36141 |
| HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.45%, 04/01/31 | 535 | &nbsp;&nbsp; 548374 |
| &nbsp;&nbsp;&nbsp; 3.63%, 03/15/32 | 720 | &nbsp;&nbsp; 669093 |
| &nbsp;&nbsp;&nbsp; 5.60%, 04/01/34 | 425 | &nbsp;&nbsp; 434028 |
| &nbsp;&nbsp;&nbsp; 5.13%, 06/15/39 | 485 | &nbsp;&nbsp; 457075 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/51 | 175 | &nbsp;&nbsp; 115824 |
| &nbsp;&nbsp;&nbsp; 4.63%, 03/15/52 | 745 | &nbsp;&nbsp; 594728 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/54 | 180 | &nbsp;&nbsp; 173737 |
| &nbsp;&nbsp;&nbsp; 5.95%, 09/15/54 | 170 | &nbsp;&nbsp; 163516 |
| Hoag Memorial Hospital Presbyterian, 3.80%, 07/15/52 | 73 | &nbsp;&nbsp; 54463 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |
| Inova Health System Foundation, 4.07%, 05/15/52<sup>(f)</sup> | 18 | &nbsp;&nbsp; $14088 |
| Kaiser Foundation Hospitals |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021, 2.81%, 06/01/41 | 57 | &nbsp;&nbsp; 41351 |
| &nbsp;&nbsp;&nbsp; Series 2021, 3.00%, 06/01/51 | 161 | &nbsp;&nbsp; 103118 |
| &nbsp;&nbsp;&nbsp; Memorial Sloan-Kettering Cancer Center, Series 2020, <br> 2.96%, 01/01/50<br>| 46 | &nbsp;&nbsp; 29879 |
| Methodist Hospital, Series 20A, 2.71%, 12/01/50 | 87 | &nbsp;&nbsp; 52874 |
| &nbsp;&nbsp;&nbsp; Providence St. Joseph Health Obligated Group, <br> Series 21A, 2.70%, 10/01/51<br>| 136 | &nbsp;&nbsp; 79289 |
| Quest Diagnostics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 12/15/27 | 1125 | &nbsp;&nbsp; 1130041 |
| &nbsp;&nbsp;&nbsp; 4.63%, 12/15/29 | 1380 | &nbsp;&nbsp; 1389849 |
| Sotera Health Holdings LLC, 7.38%, 06/01/31<sup>(a)</sup> | 111 | &nbsp;&nbsp; 114660 |
| Sutter Health, Series 20A, 3.36%, 08/15/50 | 54 | &nbsp;&nbsp; 37398 |
| Tenet Healthcare Corp., 6.13%, 06/15/30 | 73 | &nbsp;&nbsp; 73475 |
| &nbsp;&nbsp;&nbsp; UMass Memorial Health Care Obligated Group, 5.36%, <br> 07/01/52<br>| 42 | &nbsp;&nbsp; 38557 |
| UnitedHealth Group, Inc., 6.05%, 02/15/63 | 195 | &nbsp;&nbsp; 194923 |
| Universal Health Services, Inc., 5.05%, 10/15/34 | 645 | &nbsp;&nbsp; 615812 |
| WakeMed, Series A, 3.29%, 10/01/52 | 81 | &nbsp;&nbsp; 54859 |
|  |  | &nbsp;&nbsp; 8195797 |
| **Health Care REITs — 0.6%** | **Health Care REITs — 0.6%** | **Health Care REITs — 0.6%** |
| Diversified Healthcare Trust |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/15/28<sup>(f)</sup> | 150 | &nbsp;&nbsp; 144139 |
| &nbsp;&nbsp;&nbsp; 7.25%, 10/15/30<sup>(a)</sup> | 25 | &nbsp;&nbsp; 25215 |
| &nbsp;&nbsp;&nbsp; 4.38%, 03/01/31<sup>(f)</sup> | 179 | &nbsp;&nbsp; 159077 |
| MPT Operating Partnership LP/MPT Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/27 | 161 | &nbsp;&nbsp; 149865 |
| &nbsp;&nbsp;&nbsp; 4.63%, 08/01/29 | 190 | &nbsp;&nbsp; 147731 |
| Omega Healthcare Investors, Inc., 5.20%, 07/01/30 | 1000 | &nbsp;&nbsp; 1004062 |
| Ventas Realty LP |  |  |
| &nbsp;&nbsp;&nbsp; 5.10%, 07/15/32 | 280 | &nbsp;&nbsp; 281541 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/35 | 670 | &nbsp;&nbsp; 657425 |
| Welltower OP LLC, 4.50%, 07/01/30 | 1140 | &nbsp;&nbsp; 1140351 |
|  |  | &nbsp;&nbsp; 3709406 |
| **Hotel & Resort REITs — 0.1%** | **Hotel & Resort REITs — 0.1%** | **Hotel & Resort REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; RHP Hotel Properties LP/RHP Finance Corp., 5.75%, <br> 03/15/34<sup>(a)</sup><br>| 30 | &nbsp;&nbsp; 29606 |
| Service Properties Trust |  |  |
| &nbsp;&nbsp;&nbsp; 8.63%, 11/15/31<sup>(a)</sup> | 128 | &nbsp;&nbsp; 133673 |
| &nbsp;&nbsp;&nbsp; 8.88%, 06/15/32<sup>(f)</sup> | 206 | &nbsp;&nbsp; 204174 |
|  |  | &nbsp;&nbsp; 367453 |
| **Hotels, Restaurants & Leisure — 0.9%** | **Hotels, Restaurants & Leisure — 0.9%** | **Hotels, Restaurants & Leisure — 0.9%** |
| Darden Restaurants, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.35%, 10/15/27 | 355 | &nbsp;&nbsp; 354176 |
| &nbsp;&nbsp;&nbsp; 4.55%, 10/15/29 | 355 | &nbsp;&nbsp; 354366 |
| &nbsp;&nbsp;&nbsp; 6.30%, 10/10/33<sup>(f)</sup> | 240 | &nbsp;&nbsp; 256805 |
| &nbsp;&nbsp;&nbsp; Genting New York LLC/GENNY Capital, Inc., 7.25%, <br> 10/01/29<sup>(a)</sup><br>| 149 | &nbsp;&nbsp; 149600 |
| Hilton Domestic Operating Co., Inc., 6.13%, 04/01/32<sup>(a)</sup> | 114 | &nbsp;&nbsp; 115710 |
| Hyatt Hotels Corp., 5.38%, 12/15/31 | 1625 | &nbsp;&nbsp; 1644697 |
| Las Vegas Sands Corp., 6.20%, 08/15/34 | 85 | &nbsp;&nbsp; 87098 |
| Marriott International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/27 | 170 | &nbsp;&nbsp; 171531 |
| &nbsp;&nbsp;&nbsp; 5.55%, 10/15/28 | 310 | &nbsp;&nbsp; 318037 |
| &nbsp;&nbsp;&nbsp; 5.35%, 03/15/35 | 800 | &nbsp;&nbsp; 805208 |
| &nbsp;&nbsp;&nbsp; 5.10%, 05/01/38 | 455 | &nbsp;&nbsp; 432564 |
| &nbsp;&nbsp;&nbsp; Series AA, 4.65%, 12/01/28 | 46 | &nbsp;&nbsp; 46256 |
| &nbsp;&nbsp;&nbsp; Series FF, 4.63%, 06/15/30 | 41 | &nbsp;&nbsp; 41005 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** |
| Marriott International, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; Series HH, 2.85%, 04/15/31 | 670 | &nbsp;&nbsp; $613517 |
| McDonald's Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.63%, 09/01/49 | 180 | &nbsp;&nbsp; 129549 |
| &nbsp;&nbsp;&nbsp; 5.15%, 09/09/52<sup>(f)</sup> | 350 | &nbsp;&nbsp; 316223 |
| Wynn Macau Ltd., 6.75%, 02/15/34<sup>(a)</sup> | 60 | &nbsp;&nbsp; 58350 |
|  |  | &nbsp;&nbsp; 5894692 |
| **Household Durables — 0.2%** | **Household Durables — 0.2%** | **Household Durables — 0.2%** |
| Century Communities, Inc., 6.63%, 09/15/33<sup>(a)</sup> | 5 | &nbsp;&nbsp; 4898 |
| Installed Building Products, Inc., 5.63%, 02/01/34<sup>(a)</sup> | 40 | &nbsp;&nbsp; 39032 |
| NVR, Inc., 3.00%, 05/15/30 | 1375 | &nbsp;&nbsp; 1294682 |
| Sekisui House U.S., Inc., 3.97%, 08/06/61<sup>(f)</sup> | 30 | &nbsp;&nbsp; 19750 |
| Somnigroup International, Inc., 4.00%, 04/15/29<sup>(a)(f)</sup> | 98 | &nbsp;&nbsp; 94242 |
| Whirlpool Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/46 | 48 | &nbsp;&nbsp; 31626 |
| &nbsp;&nbsp;&nbsp; 4.60%, 05/15/50<sup>(f)</sup> | 48 | &nbsp;&nbsp; 31917 |
|  |  | &nbsp;&nbsp; 1516147 |
| **Household Products — 0.0%** | **Household Products — 0.0%** | **Household Products — 0.0%** |
| Kimberly-Clark Corp., 2.88%, 02/07/50 | 160 | &nbsp;&nbsp; 103296 |
| **Independent Power and Renewable Electricity Producers**<sup>(a)</sup> **— 0.0%** | **Independent Power and Renewable Electricity Producers**<sup>(a)</sup> **— 0.0%** | **Independent Power and Renewable Electricity Producers**<sup>(a)</sup> **— 0.0%** |
| NRG Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 11/01/34 | 36 | &nbsp;&nbsp; 36287 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/36 | 58 | &nbsp;&nbsp; 57473 |
|  |  | &nbsp;&nbsp; 93760 |
| **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** |
| Axon Enterprise, Inc., 6.13%, 03/15/30<sup>(a)</sup> | 102 | &nbsp;&nbsp; 103688 |
| Eaton Corp., 4.70%, 08/23/52<sup>(f)</sup> | 90 | &nbsp;&nbsp; 78786 |
| Enpro, Inc., 6.13%, 06/01/33<sup>(a)</sup> | 50 | &nbsp;&nbsp; 50573 |
| Teledyne Technologies, Inc., 2.75%, 04/01/31 | 676 | &nbsp;&nbsp; 618791 |
|  |  | &nbsp;&nbsp; 851838 |
| **Insurance — 1.5%** | **Insurance — 1.5%** | **Insurance — 1.5%** |
| Acrisure LLC/Acrisure Finance, Inc., 6.75%, 07/01/32<sup>(a)</sup> | 50 | &nbsp;&nbsp; 48181 |
| Aflac, Inc., 4.75%, 01/15/49<sup>(f)</sup> | 45 | &nbsp;&nbsp; 38649 |
| Allstate Corp., 5.05%, 06/24/29 | 470 | &nbsp;&nbsp; 479236 |
| American International Group, Inc., 4.85%, 05/07/30 | 470 | &nbsp;&nbsp; 474722 |
| &nbsp;&nbsp;&nbsp; American National Group, Inc., (5-year CMT + 3.18%), <br> 7.00%, 12/01/55<sup>(b)</sup><br>| 86 | &nbsp;&nbsp; 81556 |
| Arthur J Gallagher & Co., 3.50%, 05/20/51 | 440 | &nbsp;&nbsp; 300990 |
| Assurant, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.55%, 02/15/36 | 305 | &nbsp;&nbsp; 305619 |
| &nbsp;&nbsp;&nbsp; (3-mo. SOFR US + 4.4%), 7.00%, 03/27/48<sup>(b)</sup> | 108 | &nbsp;&nbsp; 108666 |
| Assured Guaranty U.S. Holdings, Inc., 6.13%, 09/15/28 | 335 | &nbsp;&nbsp; 346771 |
| Athene Holding Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 3.95%, 05/25/51 | 30 | &nbsp;&nbsp; 20290 |
| &nbsp;&nbsp;&nbsp; 3.45%, 05/15/52<sup>(f)</sup> | 55 | &nbsp;&nbsp; 33290 |
| &nbsp;&nbsp;&nbsp; Baldwin Insurance Group Holdings LLC/Baldwin <br> Insurance Group Holdings Finance, 7.13%, <br> 05/15/31<sup>(a)</sup><br>| 166 | &nbsp;&nbsp; 166842 |
| Berkshire Hathaway Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.20%, 08/15/48 | 125 | &nbsp;&nbsp; 101884 |
| &nbsp;&nbsp;&nbsp; 2.85%, 10/15/50 | 95 | &nbsp;&nbsp; 59633 |
| &nbsp;&nbsp;&nbsp; 3.85%, 03/15/52 | 175 | &nbsp;&nbsp; 132085 |
| Brighthouse Financial, Inc., 3.85%, 12/22/51 | 120 | &nbsp;&nbsp; 66703 |
| Brown & Brown, Inc., 4.95%, 03/17/52<sup>(f)</sup> | 258 | &nbsp;&nbsp; 215014 |
| CNA Financial Corp., 5.20%, 08/15/35 | 400 | &nbsp;&nbsp; 391417 |
| Everest Reinsurance Holdings, Inc., 3.50%, 10/15/50 | 800 | &nbsp;&nbsp; 530730 |
| Fairfax Financial Holdings Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 3.38%, 03/03/31 | 360 | &nbsp;&nbsp; 335196 |
| &nbsp;&nbsp;&nbsp; 6.35%, 03/22/54 | 330 | &nbsp;&nbsp; 332518 |
| &nbsp;&nbsp;&nbsp; 6.10%, 03/15/55 | 254 | &nbsp;&nbsp; 248264 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
| Fidelity National Financial, Inc., 3.40%, 06/15/30 | 1000 | &nbsp;&nbsp; $940270 |
| HUB International Ltd., 7.25%, 06/15/30<sup>(a)</sup> | 113 | &nbsp;&nbsp; 115758 |
| Markel Group, Inc., 6.00%, 05/16/54 | 485 | &nbsp;&nbsp; 472054 |
| Marsh & McLennan Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 03/15/39 | 111 | &nbsp;&nbsp; 104144 |
| &nbsp;&nbsp;&nbsp; 4.20%, 03/01/48 | 515 | &nbsp;&nbsp; 412266 |
| MGIC Investment Corp., 5.25%, 08/15/28 | 63 | &nbsp;&nbsp; 62839 |
| Panther Escrow Issuer LLC, 7.13%, 06/01/31<sup>(a)</sup> | 103 | &nbsp;&nbsp; 103346 |
| Principal Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.38%, 03/15/33 | 233 | &nbsp;&nbsp; 237890 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/53 | 90 | &nbsp;&nbsp; 83876 |
| Progressive Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.13%, 04/15/47 | 135 | &nbsp;&nbsp; 107723 |
| &nbsp;&nbsp;&nbsp; 3.70%, 03/15/52<sup>(f)</sup> | 35 | &nbsp;&nbsp; 25439 |
| RenaissanceRe Holdings Ltd., 5.75%, 06/05/33 | 1000 | &nbsp;&nbsp; 1026595 |
| Travelers Cos., Inc., 5.45%, 05/25/53<sup>(f)</sup> | 140 | &nbsp;&nbsp; 133900 |
| Unum Group, 4.13%, 06/15/51 | 410 | &nbsp;&nbsp; 301792 |
| Willis North America, Inc., 5.90%, 03/05/54 | 940 | &nbsp;&nbsp; 912417 |
|  |  | &nbsp;&nbsp; 9858565 |
| **Interactive Media & Services — 0.5%** | **Interactive Media & Services — 0.5%** | **Interactive Media & Services — 0.5%** |
| Alphabet, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/35 | 1975 | &nbsp;&nbsp; 1942562 |
| &nbsp;&nbsp;&nbsp; 2.25%, 08/15/60<sup>(f)</sup> | 335 | &nbsp;&nbsp; 168465 |
| Meta Platforms, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 11/15/32 | 185 | &nbsp;&nbsp; 183185 |
| &nbsp;&nbsp;&nbsp; 5.60%, 05/15/53 | 170 | &nbsp;&nbsp; 158612 |
| &nbsp;&nbsp;&nbsp; 5.63%, 11/15/55 | 325 | &nbsp;&nbsp; 304652 |
| Netflix, Inc., 5.40%, 08/15/54<sup>(f)</sup> | 100 | &nbsp;&nbsp; 96844 |
| Snap, Inc., 6.88%, 03/01/33<sup>(a)</sup> | 239 | &nbsp;&nbsp; 225681 |
|  |  | &nbsp;&nbsp; 3080001 |
| **Internet Software & Services — 0.7%** | **Internet Software & Services — 0.7%** | **Internet Software & Services — 0.7%** |
| Amazon.com, Inc., 5.80%, 03/13/56 | 110 | &nbsp;&nbsp; 109911 |
| AppLovin Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.13%, 12/01/29 | 350 | &nbsp;&nbsp; 352031 |
| &nbsp;&nbsp;&nbsp; 5.38%, 12/01/31 | 815 | &nbsp;&nbsp; 822997 |
| &nbsp;&nbsp;&nbsp; Go Daddy Operating Co. LLC/GD Finance Co., Inc., <br> 5.25%, 12/01/27<sup>(a)</sup><br>| 25 | &nbsp;&nbsp; 24898 |
| &nbsp;&nbsp;&nbsp; GrubHub Holdings, Inc., (6.00% Cash and 7.00% PIK), <br> 13.00%, 07/31/30<sup>(a)(e)</sup><br>| 178 | &nbsp;&nbsp; 139971 |
| Match Group Holdings II LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.63%, 02/15/29 | 72 | &nbsp;&nbsp; 71096 |
| &nbsp;&nbsp;&nbsp; 6.13%, 09/15/33 | 142 | &nbsp;&nbsp; 137997 |
| Rakuten Group, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 11.25%, 02/15/27 | 225 | &nbsp;&nbsp; 232879 |
| &nbsp;&nbsp;&nbsp; 9.75%, 04/15/29 | 200 | &nbsp;&nbsp; 213120 |
| Uber Technologies, Inc., 5.35%, 09/15/54<sup>(f)</sup> | 115 | &nbsp;&nbsp; 105894 |
| VeriSign, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.70%, 06/15/31 | 2332 | &nbsp;&nbsp; 2087888 |
| &nbsp;&nbsp;&nbsp; 5.25%, 06/01/32 | 225 | &nbsp;&nbsp; 226621 |
| Wayfair LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.25%, 10/31/29 | 218 | &nbsp;&nbsp; 222531 |
| &nbsp;&nbsp;&nbsp; 7.75%, 09/15/30 | 155 | &nbsp;&nbsp; 161376 |
|  |  | &nbsp;&nbsp; 4909210 |
| **IT Services — 0.3%** | **IT Services — 0.3%** | **IT Services — 0.3%** |
| Accenture Capital, Inc., 4.50%, 10/04/34<sup>(f)</sup> | 95 | &nbsp;&nbsp; 91851 |
| CACI International, Inc., 6.38%, 06/15/33<sup>(a)</sup> | 293 | &nbsp;&nbsp; 298252 |
| CoreWeave, Inc.<sup>(a)(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.25%, 06/01/30 | 290 | &nbsp;&nbsp; 281781 |
| &nbsp;&nbsp;&nbsp; 9.00%, 02/01/31 | 59 | &nbsp;&nbsp; 56140 |
| Fair Isaac Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/33 | 102 | &nbsp;&nbsp; 100085 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** |
| Fair Isaac Corp.<sup>(a)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 09/15/34 | 244 | &nbsp;&nbsp; $239982 |
| IBM International Capital Pte. Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 02/05/44 | 300 | &nbsp;&nbsp; 275886 |
| &nbsp;&nbsp;&nbsp; 5.30%, 02/05/54 | 200 | &nbsp;&nbsp; 177706 |
| International Business Machines Corp., 4.25%, 05/15/49 | 746 | &nbsp;&nbsp; 574892 |
| Kyndryl Holdings, Inc., 4.10%, 10/15/41 | 30 | &nbsp;&nbsp; 20890 |
| &nbsp;&nbsp;&nbsp; ZoomInfo Technologies LLC/ZoomInfo Finance Corp., <br> 3.88%, 02/01/29<sup>(a)</sup><br>| 118 | &nbsp;&nbsp; 98041 |
|  |  | &nbsp;&nbsp; 2215506 |
| **Leisure Products — 0.2%** | **Leisure Products — 0.2%** | **Leisure Products — 0.2%** |
| Acushnet Co., 5.63%, 12/01/33<sup>(a)</sup> | 65 | &nbsp;&nbsp; 64497 |
| Life Time, Inc., 6.00%, 11/15/31<sup>(a)(f)</sup> | 70 | &nbsp;&nbsp; 70555 |
| Lindblad Expeditions LLC, 7.00%, 09/15/30<sup>(a)</sup> | 40 | &nbsp;&nbsp; 40840 |
| Patrick Industries, Inc., 6.38%, 11/01/32<sup>(a)</sup> | 200 | &nbsp;&nbsp; 199987 |
| Royal Caribbean Cruises Ltd., 5.25%, 02/27/38 | 700 | &nbsp;&nbsp; 665921 |
| Sabre GLBL, Inc., 10.75%, 03/15/30<sup>(a)</sup> | 1 | &nbsp;&nbsp; 840 |
| Viking Cruises Ltd., 5.88%, 10/15/33<sup>(a)</sup> | 81 | &nbsp;&nbsp; 79972 |
|  |  | &nbsp;&nbsp; 1122612 |
| **Machinery — 0.4%** | **Machinery — 0.4%** | **Machinery — 0.4%** |
| Esab Corp., 5.63%, 04/01/31<sup>(a)</sup> | 50 | &nbsp;&nbsp; 50351 |
| IDEX Corp., 2.63%, 06/15/31 | 2189 | &nbsp;&nbsp; 1975138 |
| Manitowoc Co., Inc., 9.25%, 10/01/31<sup>(a)(f)</sup> | 58 | &nbsp;&nbsp; 60568 |
| Otis Worldwide Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.11%, 02/15/40 | 70 | &nbsp;&nbsp; 53233 |
| &nbsp;&nbsp;&nbsp; 3.36%, 02/15/50<sup>(f)</sup> | 70 | &nbsp;&nbsp; 47802 |
| &nbsp;&nbsp;&nbsp; Westinghouse Air Brake Technologies Corp., 5.61%, <br> 03/11/34<br>| 310 | &nbsp;&nbsp; 318852 |
|  |  | &nbsp;&nbsp; 2505944 |
| **Media — 0.9%** | **Media — 0.9%** | **Media — 0.9%** |
| AMC Networks, Inc., 10.50%, 07/15/32<sup>(a)</sup> | 189 | &nbsp;&nbsp; 186529 |
| CCO Holdings LLC/CCO Holdings Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.38%, 06/01/29<sup>(a)</sup> | 48 | &nbsp;&nbsp; 47340 |
| &nbsp;&nbsp;&nbsp; 6.38%, 09/01/29<sup>(a)</sup> | 31 | &nbsp;&nbsp; 31095 |
| &nbsp;&nbsp;&nbsp; 7.38%, 03/01/31<sup>(a)(f)</sup> | 355 | &nbsp;&nbsp; 361381 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/32 | 55 | &nbsp;&nbsp; 49130 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/33<sup>(a)(f)</sup> | 135 | &nbsp;&nbsp; 135372 |
| &nbsp;&nbsp;&nbsp; 7.38%, 02/01/36<sup>(a)(f)</sup> | 170 | &nbsp;&nbsp; 169294 |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter <br> Communications Operating Capital, 3.95%, 06/30/62<br>| 385 | &nbsp;&nbsp; 226210 |
| Comcast Corp., 2.35%, 01/15/27 | 200 | &nbsp;&nbsp; 197139 |
| CSC Holdings LLC<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/27 | 150 | &nbsp;&nbsp; 130109 |
| &nbsp;&nbsp;&nbsp; 11.25%, 05/15/28 | 351 | &nbsp;&nbsp; 286817 |
| Directv Financing LLC, 8.88%, 02/01/30<sup>(a)</sup> | 39 | &nbsp;&nbsp; 38913 |
| &nbsp;&nbsp;&nbsp; Directv Financing LLC/Directv Financing Co-Obligor, <br> Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 08/15/27 | 57 | &nbsp;&nbsp; 56940 |
| &nbsp;&nbsp;&nbsp; 10.00%, 02/15/31<sup>(f)</sup> | 92 | &nbsp;&nbsp; 93916 |
| Discovery Communications LLC, 5.00%, 09/20/37 | 100 | &nbsp;&nbsp; 72298 |
| DISH DBS Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 7.38%, 07/01/28 | 156 | &nbsp;&nbsp; 151376 |
| &nbsp;&nbsp;&nbsp; 5.75%, 12/01/28<sup>(a)</sup> | 151 | &nbsp;&nbsp; 146046 |
| FactSet Research Systems, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.90%, 03/01/27 | 1575 | &nbsp;&nbsp; 1548142 |
| &nbsp;&nbsp;&nbsp; 3.45%, 03/01/32<sup>(f)</sup> | 483 | &nbsp;&nbsp; 436169 |
| Fox Corp., 5.48%, 01/25/39 | 500 | &nbsp;&nbsp; 483654 |
| Gray Media, Inc., 9.63%, 07/15/32<sup>(a)</sup> | 20 | &nbsp;&nbsp; 19999 |
| Nexstar Media, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 11/01/28<sup>(f)</sup> | 146 | &nbsp;&nbsp; 143556 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/33 | 240 | &nbsp;&nbsp; 241829 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Media (continued)** | **Media (continued)** | **Media (continued)** |
| Nexstar Media, Inc.<sup>(a)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 04/15/34<sup>(g)</sup> | 180 | &nbsp;&nbsp; $180536 |
| Paramount Global, 5.85%, 09/01/43 | 31 | &nbsp;&nbsp; 21522 |
| Sinclair Television Group, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/30<sup>(f)</sup> | 102 | &nbsp;&nbsp; 88230 |
| &nbsp;&nbsp;&nbsp; 4.38%, 12/31/32<sup>(f)</sup> | 140 | &nbsp;&nbsp; 108325 |
| &nbsp;&nbsp;&nbsp; 8.13%, 02/15/33 | 90 | &nbsp;&nbsp; 91491 |
| Time Warner Cable LLC, 4.50%, 09/15/42 | 250 | &nbsp;&nbsp; 187737 |
| Univision Communications, Inc., 8.00%, 08/15/28<sup>(a)</sup> | 56 | &nbsp;&nbsp; 56839 |
| Versant Media Group, Inc., 7.25%, 01/30/31<sup>(a)(f)</sup> | 327 | &nbsp;&nbsp; 334652 |
|  |  | &nbsp;&nbsp; 6322586 |
| **Metals & Mining — 1.1%** | **Metals & Mining — 1.1%** | **Metals & Mining — 1.1%** |
| Advanced Drainage Systems, Inc., 5.38%, 03/01/34<sup>(a)</sup> | 55 | &nbsp;&nbsp; 53522 |
| BHP Billiton Finance USA Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/28/28 | 1575 | &nbsp;&nbsp; 1589622 |
| &nbsp;&nbsp;&nbsp; 4.90%, 02/28/33 | 565 | &nbsp;&nbsp; 565956 |
| Century Aluminum Co., 6.88%, 08/01/32<sup>(a)(f)</sup> | 193 | &nbsp;&nbsp; 199075 |
| Champion Iron Canada, Inc., 7.88%, 07/15/32<sup>(a)</sup> | 100 | &nbsp;&nbsp; 103866 |
| Cleveland-Cliffs, Inc., 7.63%, 01/15/34<sup>(a)</sup> | 109 | &nbsp;&nbsp; 106489 |
| Commercial Metals Co.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 11/15/33 | 65 | &nbsp;&nbsp; 64317 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/35 | 188 | &nbsp;&nbsp; 185339 |
| Eldorado Gold Corp., 6.25%, 09/01/29<sup>(a)</sup> | 138 | &nbsp;&nbsp; 137500 |
| First Quantum Minerals Ltd., 8.00%, 03/01/33<sup>(a)(f)</sup> | 200 | &nbsp;&nbsp; 206634 |
| Fortescue Treasury Pty. Ltd., 6.13%, 04/15/32<sup>(a)(f)</sup> | 223 | &nbsp;&nbsp; 227868 |
| Ivanhoe Mines Ltd., 7.88%, 01/23/30<sup>(a)</sup> | 200 | &nbsp;&nbsp; 202410 |
| Kaiser Aluminum Corp., 5.88%, 03/01/34<sup>(a)</sup> | 23 | &nbsp;&nbsp; 22583 |
| Mineral Resources Ltd., 7.00%, 04/01/31<sup>(a)</sup> | 218 | &nbsp;&nbsp; 222778 |
| New Gold, Inc., 6.88%, 04/01/32<sup>(a)</sup> | 129 | &nbsp;&nbsp; 133329 |
| Novelis Corp., 6.88%, 01/30/30<sup>(a)(f)</sup> | 95 | &nbsp;&nbsp; 95824 |
| Perenti Finance Pty. Ltd., 7.50%, 04/26/29<sup>(a)</sup> | 130 | &nbsp;&nbsp; 133387 |
| Reliance, Inc., 2.15%, 08/15/30 | 1575 | &nbsp;&nbsp; 1414767 |
| Rio Tinto Finance USA Ltd., 2.75%, 11/02/51 | 10 | &nbsp;&nbsp; 6023 |
| Rio Tinto Finance USA PLC, 5.25%, 03/14/35 | 785 | &nbsp;&nbsp; 797540 |
| Southern Copper Corp., 7.50%, 07/27/35 | 900 | &nbsp;&nbsp; 1025145 |
| Taseko Mines Ltd., 8.25%, 05/01/30<sup>(a)</sup> | 210 | &nbsp;&nbsp; 218938 |
|  |  | &nbsp;&nbsp; 7712912 |
| **Mortgage Real Estate Investment Trusts (REITs)**<sup>(a)</sup> **— 0.2%** | **Mortgage Real Estate Investment Trusts (REITs)**<sup>(a)</sup> **— 0.2%** | **Mortgage Real Estate Investment Trusts (REITs)**<sup>(a)</sup> **— 0.2%** |
| &nbsp;&nbsp;&nbsp; Apollo Commercial Real Estate Finance, Inc., 4.63%, <br> 06/15/29<br>| 110 | &nbsp;&nbsp; 109114 |
| Arbor Realty SR, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 8.50%, 12/15/28<sup>(f)</sup> | 146 | &nbsp;&nbsp; 143486 |
| &nbsp;&nbsp;&nbsp; 7.88%, 07/15/30 | 156 | &nbsp;&nbsp; 144258 |
| Blackstone Mortgage Trust, Inc., 7.75%, 12/01/29 | 211 | &nbsp;&nbsp; 221697 |
| &nbsp;&nbsp;&nbsp; EF Holdco/EF Cayman Holdings/Ellington Fin REIT <br> Cayman/TRS/EF Cayman Non-MTM, 7.38%, <br> 09/30/30<br>| 68 | &nbsp;&nbsp; 65482 |
| Starwood Property Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 7.25%, 04/01/29 | 165 | &nbsp;&nbsp; 169889 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/30 | 68 | &nbsp;&nbsp; 67868 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/30 | 67 | &nbsp;&nbsp; 68425 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/30 | 85 | &nbsp;&nbsp; 86208 |
|  |  | &nbsp;&nbsp; 1076427 |
| **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** |
| AmeriGas Partners LP/AmeriGas Finance Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.38%, 06/01/28 | 210 | &nbsp;&nbsp; 215593 |
| &nbsp;&nbsp;&nbsp; 9.50%, 06/01/30 | 76 | &nbsp;&nbsp; 80516 |
| Atmos Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 01/15/31 | 30 | &nbsp;&nbsp; 26177 |
| &nbsp;&nbsp;&nbsp; 5.75%, 10/15/52<sup>(f)</sup> | 105 | &nbsp;&nbsp; 104326 |
| &nbsp;&nbsp;&nbsp; 5.45%, 01/15/56<sup>(f)</sup> | 40 | &nbsp;&nbsp; 38181 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Multi-Utilities (continued)** | **Multi-Utilities (continued)** | **Multi-Utilities (continued)** |
| CenterPoint Energy Resources Corp., 5.25%, 03/01/28<sup>(f)</sup> | 85 | &nbsp;&nbsp; $86479 |
| National Fuel Gas Co., 5.95%, 03/15/35 | 450 | &nbsp;&nbsp; 465549 |
| NiSource, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.60%, 05/01/30 | 60 | &nbsp;&nbsp; 57819 |
| &nbsp;&nbsp;&nbsp; 5.35%, 04/01/34<sup>(f)</sup> | 80 | &nbsp;&nbsp; 81398 |
| &nbsp;&nbsp;&nbsp; 3.95%, 03/30/48 | 130 | &nbsp;&nbsp; 97511 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/52 | 20 | &nbsp;&nbsp; 17292 |
| Piedmont Natural Gas Co., Inc., 3.50%, 06/01/29 | 80 | &nbsp;&nbsp; 77764 |
| Southern California Gas Co., 5.75%, 06/01/53 | 100 | &nbsp;&nbsp; 97293 |
| Southern Co. Gas Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 09/15/33 | 140 | &nbsp;&nbsp; 145495 |
| &nbsp;&nbsp;&nbsp; 4.95%, 09/15/34 | 10 | &nbsp;&nbsp; 9855 |
| Southwest Gas Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.70%, 04/01/28 | 80 | &nbsp;&nbsp; 79069 |
| &nbsp;&nbsp;&nbsp; 2.20%, 06/15/30 | 85 | &nbsp;&nbsp; 77318 |
| Washington Gas Light Co., 3.65%, 09/15/49 | 30 | &nbsp;&nbsp; 21041 |
|  |  | &nbsp;&nbsp; 1778676 |
| **Oil, Gas & Consumable Fuels — 3.5%** | **Oil, Gas & Consumable Fuels — 3.5%** | **Oil, Gas & Consumable Fuels — 3.5%** |
| &nbsp;&nbsp;&nbsp; Aethon United BR LP/Aethon United Finance Corp., <br> 7.50%, 10/01/29<sup>(a)</sup><br>| 96 | &nbsp;&nbsp; 100125 |
| &nbsp;&nbsp;&nbsp; Antero Midstream Partners LP/Antero Midstream <br> Finance Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 10/15/33 | 55 | &nbsp;&nbsp; 54390 |
| &nbsp;&nbsp;&nbsp; 5.75%, 07/01/34 | 75 | &nbsp;&nbsp; 73907 |
| BKV Upstream Midstream LLC, 7.50%, 10/15/30<sup>(a)</sup> | 220 | &nbsp;&nbsp; 222233 |
| California Resources Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.25%, 06/15/29 | 158 | &nbsp;&nbsp; 165304 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/15/34 | 160 | &nbsp;&nbsp; 161306 |
| &nbsp;&nbsp;&nbsp; Calumet Specialty Products Partners LP/Calumet <br> Finance Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.75%, 07/15/28 | 181 | &nbsp;&nbsp; 186881 |
| &nbsp;&nbsp;&nbsp; 9.75%, 02/15/31 | 92 | &nbsp;&nbsp; 97737 |
| Canadian Natural Resources Ltd., 4.95%, 06/01/47<sup>(f)</sup> | 100 | &nbsp;&nbsp; 87202 |
| Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/27 | 160 | &nbsp;&nbsp; 160826 |
| Cheniere Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.65%, 04/15/34 | 600 | &nbsp;&nbsp; 617716 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/30/56<sup>(a)</sup> | 50 | &nbsp;&nbsp; 49823 |
| Chevron Corp., 3.08%, 05/11/50<sup>(f)</sup> | 60 | &nbsp;&nbsp; 40416 |
| Chevron USA, Inc., 4.98%, 04/15/35 | 2160 | &nbsp;&nbsp; 2187645 |
| Chord Energy Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/30 | 80 | &nbsp;&nbsp; 81062 |
| &nbsp;&nbsp;&nbsp; 6.75%, 03/15/33 | 125 | &nbsp;&nbsp; 129055 |
| CNX Midstream Partners LP, 4.75%, 04/15/30<sup>(a)</sup> | 126 | &nbsp;&nbsp; 119793 |
| CNX Resources Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.38%, 01/15/31 | 112 | &nbsp;&nbsp; 115081 |
| &nbsp;&nbsp;&nbsp; 7.25%, 03/01/32 | 136 | &nbsp;&nbsp; 140142 |
| &nbsp;&nbsp;&nbsp; 5.88%, 03/01/34 | 55 | &nbsp;&nbsp; 53563 |
| ConocoPhillips Co., 3.80%, 03/15/52 | 85 | &nbsp;&nbsp; 62096 |
| Continental Resources, Inc., 4.38%, 01/15/28 | 100 | &nbsp;&nbsp; 99322 |
| Coterra Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.38%, 03/15/29 | 660 | &nbsp;&nbsp; 657531 |
| &nbsp;&nbsp;&nbsp; 5.60%, 03/15/34 | 260 | &nbsp;&nbsp; 266087 |
| &nbsp;&nbsp;&nbsp; 5.40%, 02/15/35 | 205 | &nbsp;&nbsp; 205654 |
| CVR Energy, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.50%, 02/15/31 | 90 | &nbsp;&nbsp; 90672 |
| &nbsp;&nbsp;&nbsp; 7.88%, 02/15/34 | 155 | &nbsp;&nbsp; 155543 |
| DCP Midstream Operating LP, 3.25%, 02/15/32 | 17 | &nbsp;&nbsp; 15452 |
| &nbsp;&nbsp;&nbsp; Delek Logistics Partners LP/Delek Logistics Finance <br> Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.63%, 03/15/29 | 310 | &nbsp;&nbsp; 320778 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |
| &nbsp;&nbsp;&nbsp; Delek Logistics Partners LP/Delek Logistics Finance <br> Corp.<sup>(a)</sup> (continued)<br>|  |  |
| &nbsp;&nbsp;&nbsp; 7.38%, 06/30/33 | $60 | &nbsp;&nbsp; $60496 |
| Devon Energy Corp.<sup>(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.20%, 09/15/34 | 200 | &nbsp;&nbsp; 200501 |
| &nbsp;&nbsp;&nbsp; 5.75%, 09/15/54 | 300 | &nbsp;&nbsp; 281931 |
| &nbsp;&nbsp;&nbsp; Diamond Foreign Asset Co./Diamond Finance LLC, <br> 8.50%, 10/01/30<sup>(a)</sup><br>| 88 | &nbsp;&nbsp; 92967 |
| Diamondback Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 03/15/33 | 125 | &nbsp;&nbsp; 133372 |
| &nbsp;&nbsp;&nbsp; 5.90%, 04/18/64 | 170 | &nbsp;&nbsp; 160861 |
| Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp; 5.20%, 04/01/30<sup>(f)</sup> | 190 | &nbsp;&nbsp; 194241 |
| &nbsp;&nbsp;&nbsp; 5.60%, 09/01/34 | 550 | &nbsp;&nbsp; 560541 |
| &nbsp;&nbsp;&nbsp; 5.40%, 10/01/47 | 610 | &nbsp;&nbsp; 542047 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 2.48%), 6.75%, 02/15/56<sup>(b)</sup> | 72 | &nbsp;&nbsp; 71607 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 2.68%), 6.50%, 02/15/56<sup>(b)</sup> | 73 | &nbsp;&nbsp; 72123 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 2.83%), 7.13%, 10/01/54<sup>(b)</sup> | 78 | &nbsp;&nbsp; 79222 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 4.02%), 8.00%, 05/15/54<sup>(b)</sup> | 48 | &nbsp;&nbsp; 50275 |
| EOG Resources, Inc., 5.65%, 12/01/54<sup>(f)</sup> | 125 | &nbsp;&nbsp; 121738 |
| Equinor ASA, 3.25%, 11/18/49 | 500 | &nbsp;&nbsp; 343856 |
| Expand Energy Corp., 5.70%, 01/15/35 | 297 | &nbsp;&nbsp; 301648 |
| Exxon Mobil Corp., 3.45%, 04/15/51 | 5 | &nbsp;&nbsp; 3561 |
| Genesis Energy LP/Genesis Energy Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 8.25%, 01/15/29 | 128 | &nbsp;&nbsp; 132262 |
| &nbsp;&nbsp;&nbsp; 8.88%, 04/15/30<sup>(f)</sup> | 19 | &nbsp;&nbsp; 19840 |
| &nbsp;&nbsp;&nbsp; 7.88%, 05/15/32 | 134 | &nbsp;&nbsp; 137807 |
| &nbsp;&nbsp;&nbsp; 8.00%, 05/15/33 | 75 | &nbsp;&nbsp; 77497 |
| &nbsp;&nbsp;&nbsp; 6.75%, 03/15/34 | 50 | &nbsp;&nbsp; 49764 |
| &nbsp;&nbsp;&nbsp; Global Partners LP/GLP Finance Corp., 8.25%, <br> 01/15/32<sup>(a)</sup><br>| 84 | &nbsp;&nbsp; 86810 |
| Golar LNG Ltd., 7.50%, 10/02/30<sup>(a)</sup> | 218 | &nbsp;&nbsp; 219833 |
| Gulfport Energy Operating Corp., 6.75%, 09/01/29<sup>(a)(f)</sup> | 211 | &nbsp;&nbsp; 215794 |
| Infinity Natural Resources LLC, 7.63%, 04/01/31<sup>(a)</sup> | 40 | &nbsp;&nbsp; 40211 |
| Ithaca Energy North Sea PLC, 8.13%, 10/15/29<sup>(a)</sup> | 350 | &nbsp;&nbsp; 358889 |
| Karoon USA Finance, Inc., 10.50%, 05/14/29<sup>(a)</sup> | 75 | &nbsp;&nbsp; 77546 |
| Kinder Morgan Energy Partners LP, 6.95%, 01/15/38 | 300 | &nbsp;&nbsp; 334911 |
| Kinder Morgan, Inc., 5.95%, 08/01/54 | 470 | &nbsp;&nbsp; 466294 |
| &nbsp;&nbsp;&nbsp; Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas <br> Finance Corp., 6.88%, 12/01/32<sup>(a)</sup><br>| 194 | &nbsp;&nbsp; 199655 |
| MPLX LP |  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 02/15/31 | 875 | &nbsp;&nbsp; 877002 |
| &nbsp;&nbsp;&nbsp; 5.20%, 03/01/47 | 47 | &nbsp;&nbsp; 41524 |
| &nbsp;&nbsp;&nbsp; 4.70%, 04/15/48 | 355 | &nbsp;&nbsp; 288545 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/49 | 535 | &nbsp;&nbsp; 483549 |
| &nbsp;&nbsp;&nbsp; 6.10%, 04/01/56 | 525 | &nbsp;&nbsp; 510463 |
| &nbsp;&nbsp;&nbsp; 4.90%, 04/15/58 | 340 | &nbsp;&nbsp; 275192 |
| Murphy Oil Corp., 6.50%, 02/15/34 | 68 | &nbsp;&nbsp; 67154 |
| Nabors Industries, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.13%, 01/31/30 | 23 | &nbsp;&nbsp; 24150 |
| &nbsp;&nbsp;&nbsp; 7.63%, 11/15/32 | 78 | &nbsp;&nbsp; 79845 |
| &nbsp;&nbsp;&nbsp; NGL Energy Operating LLC/NGL Energy Finance <br> Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.13%, 02/15/29 | 70 | &nbsp;&nbsp; 72110 |
| &nbsp;&nbsp;&nbsp; 8.38%, 02/15/32 | 208 | &nbsp;&nbsp; 214353 |
| Noble Finance II LLC, 8.00%, 04/15/30<sup>(a)</sup> | 261 | &nbsp;&nbsp; 268722 |
| ONEOK Partners LP, 6.13%, 02/01/41 | 75 | &nbsp;&nbsp; 76157 |
| ONEOK, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.35%, 01/15/31 | 1140 | &nbsp;&nbsp; 1211259 |
| &nbsp;&nbsp;&nbsp; 6.10%, 11/15/32 | 590 | &nbsp;&nbsp; 621552 |
| &nbsp;&nbsp;&nbsp; 7.15%, 01/15/51 | 80 | &nbsp;&nbsp; 86270 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |
| PBF Holding Co. LLC/PBF Finance Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.88%, 03/15/30 | 48 | &nbsp;&nbsp; $51454 |
| &nbsp;&nbsp;&nbsp; 7.88%, 09/15/30<sup>(f)</sup> | 71 | &nbsp;&nbsp; 72911 |
| Phillips 66 Co., 5.65%, 06/15/54 | 120 | &nbsp;&nbsp; 111933 |
| Plains All American Pipeline LP, 5.95%, 06/15/35 | 775 | &nbsp;&nbsp; 800186 |
| Plains All American Pipeline LP/PAA Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.55%, 12/15/29 | 150 | &nbsp;&nbsp; 145154 |
| &nbsp;&nbsp;&nbsp; 4.90%, 02/15/45 | 170 | &nbsp;&nbsp; 147258 |
| Seadrill Finance Ltd., 8.38%, 08/01/30<sup>(a)</sup> | 36 | &nbsp;&nbsp; 37230 |
| Shell Finance U.S., Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.38%, 12/15/38 | 67 | &nbsp;&nbsp; 73685 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/26/51 | 178 | &nbsp;&nbsp; 113216 |
| South Bow Canadian Infrastructure Holdings Ltd.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 3.67%), 7.50%, 03/01/55 | 46 | &nbsp;&nbsp; 47894 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 3.95%), 7.63%, 03/01/55 | 47 | &nbsp;&nbsp; 48390 |
| Talos Production, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.00%, 02/01/29 | 59 | &nbsp;&nbsp; 61414 |
| &nbsp;&nbsp;&nbsp; 9.38%, 02/01/31 | 202 | &nbsp;&nbsp; 214071 |
| Targa Resources Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/35 | 1345 | &nbsp;&nbsp; 1356962 |
| &nbsp;&nbsp;&nbsp; 5.55%, 08/15/35 | 975 | &nbsp;&nbsp; 983335 |
| TotalEnergies Capital SA, 5.49%, 04/05/54 | 440 | &nbsp;&nbsp; 422372 |
| Valaris Ltd., 8.38%, 04/30/30<sup>(a)</sup> | 335 | &nbsp;&nbsp; 347124 |
| Venture Global LNG, Inc.<sup>(a)(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 8.13%, 06/01/28 | 41 | &nbsp;&nbsp; 41932 |
| &nbsp;&nbsp;&nbsp; 9.88%, 02/01/32 | 83 | &nbsp;&nbsp; 89141 |
| Vermilion Energy, Inc., 7.25%, 02/15/33<sup>(a)(f)</sup> | 157 | &nbsp;&nbsp; 158364 |
| Western Midstream Operating LP |  |  |
| &nbsp;&nbsp;&nbsp; 6.35%, 01/15/29<sup>(f)</sup> | 65 | &nbsp;&nbsp; 67687 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/35 | 485 | &nbsp;&nbsp; 476965 |
|  |  | &nbsp;&nbsp; 23471967 |
| **Passenger Airlines — 0.0%** | **Passenger Airlines — 0.0%** | **Passenger Airlines — 0.0%** |
| &nbsp;&nbsp;&nbsp; JetBlue Airways Corp./JetBlue Loyalty LP, 9.88%, <br> 09/20/31<sup>(a)(f)</sup><br>| 361 | &nbsp;&nbsp; 341166 |
| **Personal Care Products — 0.0%** | **Personal Care Products — 0.0%** | **Personal Care Products — 0.0%** |
| Colgate-Palmolive Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.25%, 08/15/32 | 90 | &nbsp;&nbsp; 84476 |
| &nbsp;&nbsp;&nbsp; 3.70%, 08/01/47 | 30 | &nbsp;&nbsp; 23207 |
|  |  | &nbsp;&nbsp; 107683 |
| **Pharmaceuticals — 1.3%** | **Pharmaceuticals — 1.3%** | **Pharmaceuticals — 1.3%** |
| 1261229 B.C. Ltd., 10.00%, 04/15/32<sup>(a)</sup> | 450 | &nbsp;&nbsp; 460730 |
| AbbVie, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.05%, 11/21/39 | 50 | &nbsp;&nbsp; 43886 |
| &nbsp;&nbsp;&nbsp; 4.40%, 11/06/42<sup>(f)</sup> | 135 | &nbsp;&nbsp; 118581 |
| &nbsp;&nbsp;&nbsp; 4.70%, 05/14/45 | 145 | &nbsp;&nbsp; 129316 |
| &nbsp;&nbsp;&nbsp; 5.40%, 03/15/54 | 260 | &nbsp;&nbsp; 248263 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/64 | 165 | &nbsp;&nbsp; 157342 |
| Amneal Pharmaceuticals LLC, 6.88%, 08/01/32<sup>(a)</sup> | 248 | &nbsp;&nbsp; 255303 |
| AstraZeneca PLC, 4.38%, 11/16/45 | 200 | &nbsp;&nbsp; 172746 |
| Cardinal Health, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.45%, 02/15/34 | 158 | &nbsp;&nbsp; 161354 |
| &nbsp;&nbsp;&nbsp; 5.35%, 11/15/34 | 750 | &nbsp;&nbsp; 756900 |
| Cencora, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.45%, 12/15/27 | 1427 | &nbsp;&nbsp; 1405418 |
| &nbsp;&nbsp;&nbsp; 4.85%, 12/15/29 | 420 | &nbsp;&nbsp; 425728 |
| &nbsp;&nbsp;&nbsp; 2.70%, 03/15/31 | 117 | &nbsp;&nbsp; 106696 |
| &nbsp;&nbsp;&nbsp; 5.15%, 02/15/35 | 155 | &nbsp;&nbsp; 156107 |
| CVS Health Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/32 | 400 | &nbsp;&nbsp; 400321 |
| &nbsp;&nbsp;&nbsp; 5.45%, 09/15/35 | 700 | &nbsp;&nbsp; 702722 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** |
| Eli Lilly & Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.90%, 02/12/32 | 530 | &nbsp;&nbsp; $541779 |
| &nbsp;&nbsp;&nbsp; 4.88%, 02/27/53 | 115 | &nbsp;&nbsp; 102737 |
| &nbsp;&nbsp;&nbsp; 5.55%, 10/15/55<sup>(f)</sup> | 60 | &nbsp;&nbsp; 59228 |
| &nbsp;&nbsp;&nbsp; 4.95%, 02/27/63 | 160 | &nbsp;&nbsp; 140453 |
| &nbsp;&nbsp;&nbsp; 5.65%, 10/15/65 | 105 | &nbsp;&nbsp; 103131 |
| Harrow, Inc., 8.63%, 09/15/30<sup>(a)</sup> | 92 | &nbsp;&nbsp; 93042 |
| &nbsp;&nbsp;&nbsp; HLF Financing SARL LLC/Herbalife International, Inc., <br> 12.25%, 04/15/29<sup>(a)</sup><br>| 163 | &nbsp;&nbsp; 173826 |
| Johnson & Johnson |  |  |
| &nbsp;&nbsp;&nbsp; 3.63%, 03/03/37 | 195 | &nbsp;&nbsp; 175162 |
| &nbsp;&nbsp;&nbsp; 3.70%, 03/01/46 | 279 | &nbsp;&nbsp; 221656 |
| Merck & Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/07/49 | 330 | &nbsp;&nbsp; 258385 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/17/53 | 710 | &nbsp;&nbsp; 639856 |
| Novartis Capital Corp., 2.75%, 08/14/50 | 271 | &nbsp;&nbsp; 170333 |
| Pfizer Investment Enterprises Pte. Ltd., 5.34%, 05/19/63 | 80 | &nbsp;&nbsp; 72666 |
| Pfizer, Inc., 7.20%, 03/15/39 | 80 | &nbsp;&nbsp; 93517 |
| Zoetis, Inc., 3.00%, 05/15/50 | 100 | &nbsp;&nbsp; 64382 |
|  |  | &nbsp;&nbsp; 8611566 |
| **Real Estate Management & Development — 0.2%** | **Real Estate Management & Development — 0.2%** | **Real Estate Management & Development — 0.2%** |
| &nbsp;&nbsp;&nbsp; Anywhere Real Estate Group LLC/Realogy Co-Issuer <br> Corp.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 01/15/29 | 159 | &nbsp;&nbsp; 153235 |
| &nbsp;&nbsp;&nbsp; 5.25%, 04/15/30 | 139 | &nbsp;&nbsp; 131015 |
| &nbsp;&nbsp;&nbsp; 9.75%, 04/15/30 | 104 | &nbsp;&nbsp; 110403 |
| CBRE Services, Inc., 5.95%, 08/15/34 | 500 | &nbsp;&nbsp; 520503 |
| &nbsp;&nbsp;&nbsp; Cushman & Wakefield U.S. Borrower LLC, 8.88%, <br> 09/01/31<sup>(a)</sup><br>| 90 | &nbsp;&nbsp; 95335 |
| Five Point Operating Co. LP, 8.00%, 10/01/30<sup>(a)</sup> | 145 | &nbsp;&nbsp; 144659 |
| Howard Hughes Corp., 6.13%, 03/01/34<sup>(a)</sup> | 85 | &nbsp;&nbsp; 81628 |
|  |  | &nbsp;&nbsp; 1236778 |
| **Residential REITs — 0.1%** | **Residential REITs — 0.1%** | **Residential REITs — 0.1%** |
| Realty Income Corp., 4.75%, 02/15/29 | 630 | &nbsp;&nbsp; 636157 |
| **Retail REITs — 0.2%** | **Retail REITs — 0.2%** | **Retail REITs — 0.2%** |
| Simon Property Group LP |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 03/15/42 | 700 | &nbsp;&nbsp; 634071 |
| &nbsp;&nbsp;&nbsp; 4.25%, 11/30/46 | 700 | &nbsp;&nbsp; 567679 |
| &nbsp;&nbsp;&nbsp; 3.25%, 09/13/49<sup>(f)</sup> | 330 | &nbsp;&nbsp; 221128 |
|  |  | &nbsp;&nbsp; 1422878 |
| **Semiconductors & Semiconductor Equipment — 0.2%** | **Semiconductors & Semiconductor Equipment — 0.2%** | **Semiconductors & Semiconductor Equipment — 0.2%** |
| Amkor Technology, Inc., 5.88%, 10/01/33<sup>(a)</sup> | 79 | &nbsp;&nbsp; 78677 |
| ams-OSRAM AG, 12.25%, 03/30/29<sup>(a)</sup> | 106 | &nbsp;&nbsp; 112568 |
| Analog Devices, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 1.70%, 10/01/28 | 385 | &nbsp;&nbsp; 362257 |
| &nbsp;&nbsp;&nbsp; 2.80%, 10/01/41 | 240 | &nbsp;&nbsp; 172064 |
| &nbsp;&nbsp;&nbsp; 2.95%, 10/01/51<sup>(f)</sup> | 30 | &nbsp;&nbsp; 19061 |
| Broadcom, Inc., 4.00%, 04/15/29<sup>(a)</sup> | 80 | &nbsp;&nbsp; 79207 |
| Kioxia Holdings Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 07/24/30 | 87 | &nbsp;&nbsp; 88403 |
| &nbsp;&nbsp;&nbsp; 6.63%, 07/24/33 | 166 | &nbsp;&nbsp; 170619 |
| Texas Instruments, Inc., 2.70%, 09/15/51 | 570 | &nbsp;&nbsp; 342079 |
|  |  | &nbsp;&nbsp; 1424935 |
| **Software — 1.2%** | **Software — 1.2%** | **Software — 1.2%** |
| Cloud Software Group, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 9.00%, 09/30/29 | 116 | &nbsp;&nbsp; 111902 |
| &nbsp;&nbsp;&nbsp; 8.25%, 06/30/32 | 150 | &nbsp;&nbsp; 142265 |
| Elastic NV, 4.13%, 07/15/29<sup>(a)</sup> | 105 | &nbsp;&nbsp; 98497 |
| Electronic Arts, Inc., 2.95%, 02/15/51<sup>(f)</sup> | 150 | &nbsp;&nbsp; 120574 |
| Intuit, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 1.65%, 07/15/30<sup>(f)</sup> | 71 | &nbsp;&nbsp; 63255 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Software (continued)** | **Software (continued)** | **Software (continued)** |
| Intuit, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 5.20%, 09/15/33 | 460 | &nbsp;&nbsp; $467977 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/15/53<sup>(f)</sup> | 150 | &nbsp;&nbsp; 137968 |
| Microsoft Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.53%, 06/01/50 | 325 | &nbsp;&nbsp; 194872 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/15/50 | 125 | &nbsp;&nbsp; 74263 |
| MSCI, Inc., 5.15%, 03/15/36<sup>(f)</sup> | 740 | &nbsp;&nbsp; 716750 |
| Open Text Holdings, Inc., 4.13%, 02/15/30<sup>(a)</sup> | 33 | &nbsp;&nbsp; 29486 |
| Oracle Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.95%, 04/01/30 | 385 | &nbsp;&nbsp; 351442 |
| &nbsp;&nbsp;&nbsp; 4.65%, 05/06/30 | 235 | &nbsp;&nbsp; 229675 |
| &nbsp;&nbsp;&nbsp; 2.88%, 03/25/31 | 615 | &nbsp;&nbsp; 546240 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/03/35 | 1610 | &nbsp;&nbsp; 1536899 |
| &nbsp;&nbsp;&nbsp; 3.65%, 03/25/41<sup>(f)</sup> | 845 | &nbsp;&nbsp; 601356 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/08/44 | 90 | &nbsp;&nbsp; 66642 |
| &nbsp;&nbsp;&nbsp; 3.60%, 04/01/50<sup>(f)</sup> | 70 | &nbsp;&nbsp; 42261 |
| &nbsp;&nbsp;&nbsp; 3.95%, 03/25/51<sup>(f)</sup> | 111 | &nbsp;&nbsp; 70336 |
| &nbsp;&nbsp;&nbsp; 5.55%, 02/06/53 | 427 | &nbsp;&nbsp; 340687 |
| &nbsp;&nbsp;&nbsp; 5.38%, 09/27/54 | 720 | &nbsp;&nbsp; 556937 |
| &nbsp;&nbsp;&nbsp; 5.95%, 09/26/55 | 125 | &nbsp;&nbsp; 105159 |
| &nbsp;&nbsp;&nbsp; 3.85%, 04/01/60 | 683 | &nbsp;&nbsp; 401928 |
| Roper Technologies, Inc., 4.50%, 10/15/29 | 665 | &nbsp;&nbsp; 661144 |
| ServiceNow, Inc., 1.40%, 09/01/30 | 72 | &nbsp;&nbsp; 62474 |
| UKG, Inc., 6.88%, 02/01/31<sup>(a)</sup> | 86 | &nbsp;&nbsp; 84049 |
|  |  | &nbsp;&nbsp; 7815038 |
| **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** |
| AutoZone, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 07/15/26 | 920 | &nbsp;&nbsp; 921515 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/28 | 180 | &nbsp;&nbsp; 180349 |
| &nbsp;&nbsp;&nbsp; 5.40%, 07/15/34 | 65 | &nbsp;&nbsp; 66000 |
| Dick's Sporting Goods, Inc., 4.00%, 10/01/29<sup>(a)</sup> | 80 | &nbsp;&nbsp; 77842 |
| FirstCash, Inc.<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.63%, 01/01/30 | 87 | &nbsp;&nbsp; 86517 |
| &nbsp;&nbsp;&nbsp; 6.88%, 03/01/32<sup>(f)</sup> | 289 | &nbsp;&nbsp; 294554 |
| Gap, Inc., 3.63%, 10/01/29<sup>(a)</sup> | 153 | &nbsp;&nbsp; 142918 |
| Kohl's Corp., 10.00%, 06/01/30<sup>(a)</sup> | 42 | &nbsp;&nbsp; 44412 |
| Macy's Retail Holdings LLC, 7.38%, 08/01/33<sup>(a)(f)</sup> | 179 | &nbsp;&nbsp; 183377 |
| Nordstrom, Inc., 4.38%, 04/01/30<sup>(f)</sup> | 85 | &nbsp;&nbsp; 79343 |
| Petco Health & Wellness Co., Inc., 8.25%, 02/01/31<sup>(a)(f)</sup> | 45 | &nbsp;&nbsp; 44938 |
| QVC, Inc., 6.88%, 04/15/29<sup>(a)</sup> | 252 | &nbsp;&nbsp; 110880 |
|  |  | &nbsp;&nbsp; 2232645 |
| **Technology Hardware, Storage & Peripherals**<sup>(a)</sup> **— 0.1%** | **Technology Hardware, Storage & Peripherals**<sup>(a)</sup> **— 0.1%** | **Technology Hardware, Storage & Peripherals**<sup>(a)</sup> **— 0.1%** |
| Diebold Nixdorf, Inc., 7.75%, 03/31/30 | 79 | &nbsp;&nbsp; 82147 |
| NCR Atleos Corp., 9.50%, 04/01/29 | 178 | &nbsp;&nbsp; 190539 |
| Seagate Data Storage Technology Pte. Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 8.25%, 12/15/29 | 144 | &nbsp;&nbsp; 151227 |
| &nbsp;&nbsp;&nbsp; 5.88%, 07/15/30 | 70 | &nbsp;&nbsp; 71151 |
| &nbsp;&nbsp;&nbsp; 9.63%, 12/01/32 | 194 | &nbsp;&nbsp; 215613 |
|  |  | &nbsp;&nbsp; 710677 |
| **Textiles, Apparel & Luxury Goods — 0.2%** | **Textiles, Apparel & Luxury Goods — 0.2%** | **Textiles, Apparel & Luxury Goods — 0.2%** |
| Ralph Lauren Corp., 5.00%, 06/15/32 | 1200 | &nbsp;&nbsp; 1218642 |
| **Tobacco — 1.3%** | **Tobacco — 1.3%** | **Tobacco — 1.3%** |
| Altria Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.45%, 02/04/32 | 1550 | &nbsp;&nbsp; 1360110 |
| &nbsp;&nbsp;&nbsp; 5.63%, 02/06/35 | 135 | &nbsp;&nbsp; 138271 |
| &nbsp;&nbsp;&nbsp; 5.80%, 02/14/39 | 727 | &nbsp;&nbsp; 729871 |
| &nbsp;&nbsp;&nbsp; 5.95%, 02/14/49 | 600 | &nbsp;&nbsp; 581727 |
| &nbsp;&nbsp;&nbsp; 4.45%, 05/06/50 | 215 | &nbsp;&nbsp; 167984 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Tobacco (continued)** | **Tobacco (continued)** | **Tobacco (continued)** |
| Altria Group, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 3.70%, 02/04/51 | 430 | &nbsp;&nbsp; $295992 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/04/61 | 965 | &nbsp;&nbsp; 673966 |
| BAT Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.83%, 02/20/31 | 190 | &nbsp;&nbsp; 198831 |
| &nbsp;&nbsp;&nbsp; 7.75%, 10/19/32 | 25 | &nbsp;&nbsp; 28707 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/20/34 | 1200 | &nbsp;&nbsp; 1268336 |
| &nbsp;&nbsp;&nbsp; 4.39%, 08/15/37 | 420 | &nbsp;&nbsp; 381586 |
| &nbsp;&nbsp;&nbsp; 7.08%, 08/02/43 | 145 | &nbsp;&nbsp; 159381 |
| &nbsp;&nbsp;&nbsp; 7.08%, 08/02/53 | 170 | &nbsp;&nbsp; 187827 |
| Philip Morris International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 11/17/32 | 710 | &nbsp;&nbsp; 747431 |
| &nbsp;&nbsp;&nbsp; 5.38%, 02/15/33 | 290 | &nbsp;&nbsp; 298045 |
| &nbsp;&nbsp;&nbsp; 5.63%, 09/07/33 | 650 | &nbsp;&nbsp; 678182 |
| &nbsp;&nbsp;&nbsp; 4.25%, 11/10/44 | 510 | &nbsp;&nbsp; 422393 |
| Turning Point Brands, Inc., 7.63%, 03/15/32<sup>(a)</sup> | 98 | &nbsp;&nbsp; 100293 |
|  |  | &nbsp;&nbsp; 8418933 |
| **Transportation Infrastructure**<sup>(f)</sup> **— 0.1%** | **Transportation Infrastructure**<sup>(f)</sup> **— 0.1%** | **Transportation Infrastructure**<sup>(f)</sup> **— 0.1%** |
| Danaos Corp., 6.88%, 10/15/32<sup>(a)</sup> | 275 | &nbsp;&nbsp; 279429 |
| United Parcel Service, Inc., 5.30%, 04/01/50 | 280 | &nbsp;&nbsp; 262249 |
|  |  | &nbsp;&nbsp; 541678 |
| **Water Utilities — 0.1%** | **Water Utilities — 0.1%** | **Water Utilities — 0.1%** |
| American Water Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.80%, 05/01/30 | 270 | &nbsp;&nbsp; 253460 |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/01/54 | 65 | &nbsp;&nbsp; 61606 |
| Essential Utilities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.70%, 04/15/30 | 180 | &nbsp;&nbsp; 167067 |
| &nbsp;&nbsp;&nbsp; 5.38%, 01/15/34 | 75 | &nbsp;&nbsp; 76036 |
|  |  | &nbsp;&nbsp; 558169 |
| **Wireless Telecommunication Services — 0.5%** | **Wireless Telecommunication Services — 0.5%** | **Wireless Telecommunication Services — 0.5%** |
| Millicom International Cellular SA<sup>(a)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.25%, 03/25/29 | 67 | &nbsp;&nbsp; 67054 |
| &nbsp;&nbsp;&nbsp; 7.38%, 04/02/32 | 189 | &nbsp;&nbsp; 191722 |
| Rogers Communications, Inc.<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 2.62%), 7.13%, 04/15/55 | 107 | &nbsp;&nbsp; 109492 |
| &nbsp;&nbsp;&nbsp; (5-year CMT + 2.65%), 7.00%, 04/15/55 | 93 | &nbsp;&nbsp; 93366 |
| T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.15%, 04/15/34 | 75 | &nbsp;&nbsp; 75549 |
| &nbsp;&nbsp;&nbsp; 5.30%, 05/15/35 | 1120 | &nbsp;&nbsp; 1129258 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/55<sup>(f)</sup> | 165 | &nbsp;&nbsp; 151326 |
| &nbsp;&nbsp;&nbsp; 5.25%, 06/15/55 | 550 | &nbsp;&nbsp; 489200 |
| &nbsp;&nbsp;&nbsp; 3.60%, 11/15/60 | 420 | &nbsp;&nbsp; 272595 |
| &nbsp;&nbsp;&nbsp; 5.80%, 09/15/62 | 685 | &nbsp;&nbsp; 656870 |
| Zegona Finance PLC, 8.63%, 07/15/29<sup>(a)(f)</sup> | 294 | &nbsp;&nbsp; 307979 |
|  |  | &nbsp;&nbsp; 3544411 |
| **Total Corporate Bonds — 39.4%** <br>**(Cost: $272,889,609)** | **Total Corporate Bonds — 39.4%** <br>**(Cost: $272,889,609)** | &nbsp;&nbsp; 264520033 |
| **Foreign Agency Obligations** | **Foreign Agency Obligations** | **Foreign Agency Obligations** |
| **Canada — 0.1%** | **Canada — 0.1%** |  |
| Province of Quebec Canada, 4.50%, 09/08/33 | 600 | &nbsp;&nbsp; 602190 |
| **Chile — 0.1%** | **Chile — 0.1%** |  |
| Chile Government International Bonds, 3.10%, 01/22/61 | 650 | &nbsp;&nbsp; 401700 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Indonesia — 0.1%** | **Indonesia — 0.1%** |  |
| Indonesia Government International Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 07/18/47<sup>(a)</sup> | $300 | &nbsp;&nbsp; $263325 |
| &nbsp;&nbsp;&nbsp; 3.35%, 03/12/71 | 200 | &nbsp;&nbsp; 120750 |
|  |  | &nbsp;&nbsp; 384075 |
| **Mexico — 0.2%** | **Mexico — 0.2%** |  |
| Mexico Government International Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 6.05%, 01/11/40 | 100 | &nbsp;&nbsp; 97000 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/31/50 | 340 | &nbsp;&nbsp; 250240 |
| &nbsp;&nbsp;&nbsp; 7.38%, 05/13/55<sup>(f)</sup> | 630 | &nbsp;&nbsp; 661500 |
| &nbsp;&nbsp;&nbsp; 3.77%, 05/24/61 | 535 | &nbsp;&nbsp; 319127 |
|  |  | &nbsp;&nbsp; 1327867 |
| **Panama — 0.0%** | **Panama — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Panama Government International Bonds, 3.87%, <br> 07/23/60<br>| 220 | &nbsp;&nbsp; 142780 |
| **Peru — 0.0%** | **Peru — 0.0%** |  |
| Peru Government International Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 3.55%, 03/10/51 | 455 | &nbsp;&nbsp; 309855 |
| &nbsp;&nbsp;&nbsp; 6.20%, 06/30/55 | 60 | &nbsp;&nbsp; 60270 |
|  |  | &nbsp;&nbsp; 370125 |
| **Philippines — 0.1%** | **Philippines — 0.1%** |  |
| Philippines Government International Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 12/10/45 | 200 | &nbsp;&nbsp; 125800 |
| &nbsp;&nbsp;&nbsp; 3.20%, 07/06/46 | 200 | &nbsp;&nbsp; 137400 |
| &nbsp;&nbsp;&nbsp; 5.90%, 02/04/50 | 240 | &nbsp;&nbsp; 239700 |
|  |  | &nbsp;&nbsp; 502900 |
| **Poland — 0.0%** | **Poland — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Republic of Poland Government International Bonds, <br> Series 30Y, 5.50%, 03/18/54<br>| 250 | &nbsp;&nbsp; 230323 |
| **South Korea — 0.0%** | **South Korea — 0.0%** |  |
| Export-Import Bank of Korea, 5.13%, 09/18/33 | 220 | &nbsp;&nbsp; 229295 |
| **Total Foreign Agency Obligations — 0.6%** <br>**(Cost: $4,922,386)** | **Total Foreign Agency Obligations — 0.6%** <br>**(Cost: $4,922,386)** | &nbsp;&nbsp; 4191255 |
| **Municipal Bonds** | **Municipal Bonds** | **Municipal Bonds** |
| **California — 0.1%** | **California — 0.1%** |  |
| &nbsp;&nbsp;&nbsp; Bay Area Toll Authority, RB, BAB, Series F-2, 6.26%, <br> 04/01/49<br>| 100 | &nbsp;&nbsp; 104345 |
| &nbsp;&nbsp;&nbsp; Bay Area Toll Authority, Refunding RB, Series F-3, <br> 3.13%, 04/01/55<br>| 140 | &nbsp;&nbsp; 92831 |
| &nbsp;&nbsp;&nbsp; California State University, Refunding RB, Series B, <br> 2.98%, 11/01/51<br>| 145 | &nbsp;&nbsp; 94903 |
| &nbsp;&nbsp;&nbsp; Regents of the University of California Medical Center <br> Pooled Revenue, RB<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series N, 3.01%, 05/15/50 | 120 | &nbsp;&nbsp; 78635 |
| &nbsp;&nbsp;&nbsp; Series N, 3.71%, 05/15/2120 | 85 | &nbsp;&nbsp; 53304 |
| State of California, GO, BAB, 7.60%, 11/01/40<sup>(f)</sup> | 150 | &nbsp;&nbsp; 179926 |
| State of California, Refunding GO, 3.50%, 04/01/28<sup>(f)</sup> | 200 | &nbsp;&nbsp; 198508 |
| &nbsp;&nbsp;&nbsp; University of California, RB, Series AD, 4.86%, <br> 05/15/2112<br>| 115 | &nbsp;&nbsp; 93805 |
|  |  | &nbsp;&nbsp; 896257 |
| **Florida — 0.0%** | **Florida — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; State Board of Administration Finance Corp., RB, <br> Series A, 2.15%, 07/01/30<br>| 119 | &nbsp;&nbsp; 109526 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Illinois — 0.1%** | **Illinois — 0.1%** |  |
| &nbsp;&nbsp;&nbsp; Chicago O'Hare International Airport, ARB, Series C, <br> Senior Lien, 4.47%, 01/01/49<br>| $65 | &nbsp;&nbsp; $56509 |
| &nbsp;&nbsp;&nbsp; Sales Tax Securitization Corp., Refunding RB, Series B, <br> 2nd Lien, 3.24%, 01/01/42<br>| 140 | &nbsp;&nbsp; 114296 |
| State of Illinois, GO, 5.10%, 06/01/33 | 223 | &nbsp;&nbsp; 226640 |
|  |  | &nbsp;&nbsp; 397445 |
| **Louisiana — 0.0%** | **Louisiana — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Louisiana Local Government Environmental Facilities & <br> Community Development Authority, RB, Series A-4, <br> 4.48%, 08/01/39<br>| 65 | &nbsp;&nbsp; 62654 |
| **Maryland — 0.0%** | **Maryland — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Maryland Health & Higher Educational Facilities <br> Authority, Refunding RB<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series D, 3.05%, 07/01/40 | 115 | &nbsp;&nbsp; 90003 |
| &nbsp;&nbsp;&nbsp; Series D, 3.20%, 07/01/50<sup>(f)</sup> | 80 | &nbsp;&nbsp; 54447 |
|  |  | &nbsp;&nbsp; 144450 |
| **Massachusetts — 0.0%** | **Massachusetts — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Commonwealth of Massachusetts, GOL, Series H, <br> 2.90%, 09/01/49<sup>(f)</sup><br>| 100 | &nbsp;&nbsp; 67970 |
| **Michigan — 0.1%** | **Michigan — 0.1%** |  |
| University of Michigan, RB |  |  |
| &nbsp;&nbsp;&nbsp; Series A, 3.50%, 04/01/52 | 38 | &nbsp;&nbsp; 27554 |
| &nbsp;&nbsp;&nbsp; Series B, Sustainability Bonds, 3.50%, 04/01/52 | 67 | &nbsp;&nbsp; 48581 |
| &nbsp;&nbsp;&nbsp; University of Michigan, Refunding RB, Series C, 3.60%, <br> 04/01/47<br>| 238 | &nbsp;&nbsp; 196055 |
|  |  | &nbsp;&nbsp; 272190 |
| **New Jersey — 0.0%** | **New Jersey — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; New Jersey Turnpike Authority, RB, BAB, Series A, <br> 7.10%, 01/01/41<br>| 150 | &nbsp;&nbsp; 173048 |
| **New York — 0.1%** | **New York — 0.1%** |  |
| &nbsp;&nbsp;&nbsp; City of New York, GO, Series B-1, Sustainability Bonds, <br> 5.83%, 10/01/53<br>| 130 | &nbsp;&nbsp; 131916 |
| &nbsp;&nbsp;&nbsp; New York City Municipal Water Finance Authority, <br> Refunding RB, 5.88%, 06/15/44<br>| 250 | &nbsp;&nbsp; 251533 |
| Port Authority of New York & New Jersey, ARB |  |  |
| &nbsp;&nbsp;&nbsp; Series 192, 4.81%, 10/15/65 | 50 | &nbsp;&nbsp; 44779 |
| &nbsp;&nbsp;&nbsp; Series 210, 4.03%, 09/01/48<sup>(f)</sup> | 200 | &nbsp;&nbsp; 163206 |
| &nbsp;&nbsp;&nbsp; Port Authority of New York & New Jersey, RB, <br> Series 191, 4.82%, 06/01/45<br>| 200 | &nbsp;&nbsp; 184057 |
|  |  | &nbsp;&nbsp; 775491 |
| **Oklahoma — 0.0%** | **Oklahoma — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Oklahoma Development Finance Authority, RB, <br> Series A-2, 4.62%, 06/01/44<br>| 110 | &nbsp;&nbsp; 106912 |
| **Pennsylvania — 0.0%** | **Pennsylvania — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Pennsylvania State University, Refunding RB, Series D, <br> 2.84%, 09/01/50<br>| 80 | &nbsp;&nbsp; 53706 |
| **Texas — 0.1%** | **Texas — 0.1%** |  |
| &nbsp;&nbsp;&nbsp; Board of Regents of the University of Texas System, <br> Refunding RB, Series B, 2.44%, 08/15/49<br>| 105 | &nbsp;&nbsp; 63739 |
| &nbsp;&nbsp;&nbsp; Dallas Area Rapid Transit, Refunding RB, Series A, <br> Senior Lien, 2.61%, 12/01/48<br>| 100 | &nbsp;&nbsp; 67647 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Texas (continued)** | **Texas (continued)** |  |
| &nbsp;&nbsp;&nbsp; Dallas Fort Worth International Airport, Refunding RB, <br> 2.84%, 11/01/46<br>| 100 | &nbsp;&nbsp; $71615 |
| &nbsp;&nbsp;&nbsp; Grand Parkway Transportation Corp., Refunding RB, <br> Subordinate, 3.24%, 10/01/52<br>| 100 | &nbsp;&nbsp; 69520 |
|  |  | &nbsp;&nbsp; 272521 |
| **Virginia — 0.0%** | **Virginia — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; University of Virginia, Refunding RB, Series B, 2.58%, <br> 11/01/51<br>| 60 | &nbsp;&nbsp; 36358 |
| **Total Municipal Bonds — 0.5%** <br>**(Cost: $4,251,774)** | **Total Municipal Bonds — 0.5%** <br>**(Cost: $4,251,774)** | &nbsp;&nbsp; 3368528 |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 14.3%** | **Collateralized Mortgage Obligations — 14.3%** | **Collateralized Mortgage Obligations — 14.3%** |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Series 2013-AA, Class A, <br> 3.00%, 05/25/42<sup>(a)(b)</sup><br>| 3 | &nbsp;&nbsp; 3158 |
| Connecticut Avenue Securities Trust<sup>(a)(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R04, Class 2B1, (30-day Avg SOFR + <br> 5.36%), 9.03%, 06/25/39<br>| 2753 | &nbsp;&nbsp; 2775755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R02, Class 2B1, (30-day Avg SOFR + <br> 3.11%), 6.78%, 01/25/40<br>| 1000 | &nbsp;&nbsp; 1012563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SBT1, Class 1M2, (30-day Avg SOFR + <br> 3.76%), 7.43%, 02/25/40<br>| 3500 | &nbsp;&nbsp; 3578750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1B1, (30-day Avg SOFR + <br> 3.10%), 6.76%, 10/25/41<br>| 3250 | &nbsp;&nbsp; 3280759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R02, Class 2B1, (30-day Avg SOFR + <br> 3.30%), 6.96%, 11/25/41<br>| 1900 | &nbsp;&nbsp; 1926887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R03, Class 1B1, (30-day Avg SOFR + <br> 2.75%), 6.41%, 12/25/41<br>| 4625 | &nbsp;&nbsp; 4674543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R01, Class 1B1, (30-day Avg SOFR + <br> 3.15%), 6.81%, 12/25/41<br>| 4042 | &nbsp;&nbsp; 4078487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2B1, (30-day Avg SOFR + <br> 4.50%), 8.16%, 01/25/42<br>| 4076 | &nbsp;&nbsp; 4181113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M2, (30-day Avg SOFR + <br> 3.00%), 6.66%, 01/25/42<br>| 3417 | &nbsp;&nbsp; 3452454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R03, Class 1B1, (30-day Avg SOFR + <br> 6.25%), 9.91%, 03/25/42<br>| 2860 | &nbsp;&nbsp; 2981220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1B1, (30-day Avg SOFR + <br> 5.25%), 8.91%, 03/25/42<br>| 3400 | &nbsp;&nbsp; 3529032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1M2, (30-day Avg SOFR + <br> 3.10%), 6.76%, 03/25/42<br>| 3500 | &nbsp;&nbsp; 3547993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R05, Class 2B1, (30-day Avg SOFR + <br> 4.50%), 8.16%, 04/25/42<br>| 1500 | &nbsp;&nbsp; 1549039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R05, Class 2M2, (30-day Avg SOFR + <br> 3.00%), 6.66%, 04/25/42<br>| 1323 | &nbsp;&nbsp; 1341809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R02, Class 1B1, (30-day Avg SOFR + <br> 2.50%), 6.16%, 02/25/44<br>| 2250 | &nbsp;&nbsp; 2276640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R05, Class 2M2, (30-day Avg SOFR + <br> 1.70%), 5.36%, 07/25/44<br>| 1617 | &nbsp;&nbsp; 1619792 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp., <br> Series 2004-6, Class 3A1, 5.00%, 09/25/19<br>| 5 | &nbsp;&nbsp; 2475 |
| &nbsp;&nbsp;&nbsp; Fannie Mae Connecticut Avenue Securities, Series 2018-<br> C01, Class 1M2C, (30-day Avg SOFR + 2.36%), <br> 6.03%, 07/25/30<sup>(b)</sup><br>| 1260 | &nbsp;&nbsp; 1281510 |
| Freddie Mac STACR REMIC Trust<sup>(a)(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HQA5, Class B1, (30-day Avg SOFR + <br> 4.00%), 7.66%, 11/25/50<br>| 2000 | &nbsp;&nbsp; 2198569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA1, Class B1, (30-day Avg SOFR + <br> 2.65%), 6.31%, 01/25/51<br>| 3500 | &nbsp;&nbsp; 3693476 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Freddie Mac STACR REMIC Trust<sup>(a)(b)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA2, Class B1, (30-day Avg SOFR + <br> 3.40%), 7.06%, 08/25/33<br>| 3100 | &nbsp;&nbsp; $3439625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA3, Class B1, (30-day Avg SOFR + <br> 3.50%), 7.16%, 10/25/33<br>| 2500 | &nbsp;&nbsp; 2819559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA3, Class B2, (30-day Avg SOFR + <br> 6.25%), 9.91%, 10/25/33<br>| 1000 | &nbsp;&nbsp; 1257507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA5, Class B1, (30-day Avg SOFR + <br> 3.05%), 6.71%, 01/25/34<br>| 3000 | &nbsp;&nbsp; 3195511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA5, Class B2, (30-day Avg SOFR + <br> 5.50%), 9.16%, 01/25/34<br>| 2000 | &nbsp;&nbsp; 2435110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA6, Class B1, (30-day Avg SOFR + <br> 3.40%), 7.06%, 10/25/41<br>| 3520 | &nbsp;&nbsp; 3557950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA7, Class B1, (30-day Avg SOFR + <br> 3.65%), 7.31%, 11/25/41<br>| 2243 | &nbsp;&nbsp; 2278457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA1, Class B1, (30-day Avg SOFR + <br> 3.00%), 6.66%, 08/25/33<br>| 3750 | &nbsp;&nbsp; 4088687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA1, Class B2, (30-day Avg SOFR + <br> 5.00%), 8.66%, 08/25/33<br>| 1000 | &nbsp;&nbsp; 1172587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA2, Class B1, (30-day Avg SOFR + <br> 3.15%), 6.81%, 12/25/33<br>| 1000 | &nbsp;&nbsp; 1115226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA4, Class M2, (30-day Avg SOFR + <br> 2.35%), 6.01%, 12/25/41<br>| 1000 | &nbsp;&nbsp; 1006880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA1, Class B1, (30-day Avg SOFR + <br> 3.40%), 7.06%, 01/25/42<br>| 3250 | &nbsp;&nbsp; 3309185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA4, Class M2, (30-day Avg SOFR + <br> 5.25%), 8.91%, 05/25/42<br>| 3000 | &nbsp;&nbsp; 3131233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA7, Class M2, (30-day Avg SOFR + <br> 7.00%), 10.66%, 03/25/52<br>| 1500 | &nbsp;&nbsp; 1616045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HQA1, Class B1, (30-day Avg SOFR + <br> 7.00%), 10.66%, 03/25/42<br>| 1620 | &nbsp;&nbsp; 1701608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HQA1, Class M2, (30-day Avg SOFR + <br> 5.25%), 8.91%, 03/25/42<br>| 4150 | &nbsp;&nbsp; 4293963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HQA3, Class M1B, (30-day Avg SOFR + <br> 3.55%), 7.21%, 08/25/42<br>| 2500 | &nbsp;&nbsp; 2570411 |
|  |  | &nbsp;&nbsp; 95975568 |
| **Commercial Mortgage-Backed Securities**<sup>(b)</sup> **— 0.1%** | **Commercial Mortgage-Backed Securities**<sup>(b)</sup> **— 0.1%** | **Commercial Mortgage-Backed Securities**<sup>(b)</sup> **— 0.1%** |
| &nbsp;&nbsp;&nbsp; BBCMS Mortgage Trust, Series 2023-C22, Class A5, <br> 6.80%, 11/15/56<br>| 600 | &nbsp;&nbsp; 655155 |
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, Series 2015-GC30, <br> Class B, 3.89%, 05/10/50<br>| 196 | &nbsp;&nbsp; 190365 |
| &nbsp;&nbsp;&nbsp; JP Morgan Chase Commercial Mortgage Securities <br> Trust, Series 2006-CB16, Class B, 5.67%, 05/12/45<br>| 210 | &nbsp;&nbsp; 10823 |
|  |  | &nbsp;&nbsp; 856343 |
| **Total Non-Agency Mortgage-Backed Securities — 14.4%** <br>**(Cost: $98,014,865)** | **Total Non-Agency Mortgage-Backed Securities — 14.4%** <br>**(Cost: $98,014,865)** | &nbsp;&nbsp; 96831911 |
| **Preferred Securities** | **Preferred Securities** | **Preferred Securities** |
| **Capital Trusts — 0.3%**<sup>(b)</sup> | **Capital Trusts — 0.3%**<sup>(b)</sup> | **Capital Trusts — 0.3%**<sup>(b)</sup> |
| **Automobile Components — 0.0%** | **Automobile Components — 0.0%** |  |
| Aptiv Swiss Holdings Ltd., 6.88%, 12/15/54 | 84 | &nbsp;&nbsp; 84783 |
| **Capital Markets — 0.0%** | **Capital Markets — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; HA Sustainable Infrastructure Capital, Inc., 7.13%, <br> 11/15/56<sup>(f)</sup><br>| 163 | &nbsp;&nbsp; 162222 |
| **Chemicals — 0.0%** | **Chemicals — 0.0%** |  |
| FMC Corp., 8.45%, 11/01/55 | 55 | &nbsp;&nbsp; 35412 |

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Diversified Telecommunication Services — 0.1%** | **Diversified Telecommunication Services — 0.1%** |  |
| Bell Telephone Co. of Canada or Bell Canada |  |  |
| &nbsp;&nbsp;&nbsp; 6.88%, 09/15/55 | $78 | &nbsp;&nbsp; $78884 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/15/55 | 108 | &nbsp;&nbsp; 110540 |
| TELUS Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/15/55 | 71 | &nbsp;&nbsp; 72480 |
| &nbsp;&nbsp;&nbsp; 6.63%, 06/09/56 | 69 | &nbsp;&nbsp; 67259 |
|  |  | &nbsp;&nbsp; 329163 |
| **Electric Utilities — 0.2%** | **Electric Utilities — 0.2%** |  |
| AES Corp., 7.60%, 01/15/55 | 77 | &nbsp;&nbsp; 76378 |
| Edison International |  |  |
| &nbsp;&nbsp;&nbsp; 8.13%, 06/15/53<sup>(f)</sup> | 87 | &nbsp;&nbsp; 88575 |
| &nbsp;&nbsp;&nbsp; 7.88%, 06/15/54 | 86 | &nbsp;&nbsp; 88098 |
| Electricite de France SA, 9.13%<sup>(a)(h)</sup> | 94 | &nbsp;&nbsp; 108853 |
| PG&E Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 7.38%, 03/15/55 | 84 | &nbsp;&nbsp; 84539 |
| &nbsp;&nbsp;&nbsp; 6.85%, 09/15/56 | 345 | &nbsp;&nbsp; 340904 |
| Southern Co., 6.00%, 04/01/58 | 210 | &nbsp;&nbsp; 211053 |
|  |  | &nbsp;&nbsp; 998400 |
| **Multi-Utilities — 0.0%** | **Multi-Utilities — 0.0%** |  |
| AltaGas Ltd., 7.20%, 10/15/54<sup>(a)</sup> | 109 | &nbsp;&nbsp; 110523 |
| **Pharmaceuticals — 0.0%** | **Pharmaceuticals — 0.0%** |  |
| CVS Health Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.75%, 12/10/54 | 167 | &nbsp;&nbsp; 169095 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/10/55 | 128 | &nbsp;&nbsp; 131915 |
|  |  | &nbsp;&nbsp; 301010 |
|  |  | &nbsp;&nbsp; 2021513 |
| **Total Preferred Securities — 0.3%** <br>**(Cost: $2,057,847)** | **Total Preferred Securities — 0.3%** <br>**(Cost: $2,057,847)** | &nbsp;&nbsp; 2021513 |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Collateralized Mortgage Obligations — 0.1%** | **Collateralized Mortgage Obligations — 0.1%** |  |
| &nbsp;&nbsp;&nbsp; Freddie Mac STACR REMIC Trust, Series 2020-DNA6, <br> Class B1, (30-day Avg SOFR + 3.00%), 6.66%, <br> 12/25/50<sup>(a)(b)</sup><br>| 680 | &nbsp;&nbsp; 720411 |
| **Commercial Mortgage-Backed Securities — 0.9%** | **Commercial Mortgage-Backed Securities — 0.9%** |  |
| Fannie Mae-Aces<sup>(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-M1, Class A2, 2.99%, 12/25/27 | 935 | &nbsp;&nbsp; 920369 |
| &nbsp;&nbsp;&nbsp; Series 2018-M7, Class A2, 3.04%, 03/25/28 | 1332 | &nbsp;&nbsp; 1307704 |
| &nbsp;&nbsp;&nbsp; Series 2018-M8, Class A2, 3.31%, 06/25/28 | 2949 | &nbsp;&nbsp; 2905021 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Multifamily Structured Pass Through <br> Certificates, Series K072, Class A2, 3.44%, 12/25/27<br>| 1190 | &nbsp;&nbsp; 1176971 |
|  |  | &nbsp;&nbsp; 6310065 |
| **Mortgage-Backed Securities — 24.4%** | **Mortgage-Backed Securities — 24.4%** |  |
| Fannie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/47 | 46 | &nbsp;&nbsp; 41495 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 - 02/01/57 | 898 | &nbsp;&nbsp; 855377 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/51 | 2671 | &nbsp;&nbsp; 2443318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11th District Cost of Funds + 1.25%), 4.03%, <br> 09/01/34<sup>(b)</sup><br>| 33 | &nbsp;&nbsp; 32136 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.43%), 5.68%, 04/01/35<sup>(b)</sup> | 16 | &nbsp;&nbsp; 16001 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.53%), 6.36%, 05/01/43<sup>(b)</sup> | 9 | &nbsp;&nbsp; 8749 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.54%), 6.25%, 06/01/43<sup>(b)</sup> | 19 | &nbsp;&nbsp; 19311 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.71%), 6.71%, 04/01/40<sup>(b)</sup> | 1 | &nbsp;&nbsp; 971 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.75%), 6.47%, 08/01/41<sup>(b)</sup> | 9 | &nbsp;&nbsp; 9088 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.78%), 6.03%, 01/01/42<sup>(b)</sup> | 4 | &nbsp;&nbsp; 4037 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.81%), 5.96%, 02/01/42<sup>(b)</sup> | 1 | &nbsp;&nbsp; 543 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.82%), 6.57%, 09/01/41<sup>(b)</sup> | 10 | &nbsp;&nbsp; 10137 |
| &nbsp;&nbsp;&nbsp; (6-mo. RFUCCT US + 1.04%), 5.29%, 05/01/33<sup>(b)</sup> | 2 | &nbsp;&nbsp; 1798 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |  |
| Fannie Mae Mortgage-Backed Securities (continued) |  |  |
| &nbsp;&nbsp;&nbsp; (6-mo. RFUCCT US + 1.36%), 5.47%, 10/01/32<sup>(b)</sup> | 5 | &nbsp;&nbsp; $5456 |
| Freddie Mac Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/27 - 10/01/47 | 3614 | &nbsp;&nbsp; 3297632 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/28 - 04/01/38 | 125 | &nbsp;&nbsp; 129799 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/29 - 08/01/36 | 139 | &nbsp;&nbsp; 146844 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/30 | — <br><sup>(i)</sup><br>| &nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/31 - 01/01/49 | 702 | &nbsp;&nbsp; 692167 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/32 - 04/01/49 | 4098 | &nbsp;&nbsp; 3849497 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/33 - 08/01/38 | 316 | &nbsp;&nbsp; 321303 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 - 03/01/48 | 204 | &nbsp;&nbsp; 206691 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/41 - 01/01/49 | 1944 | &nbsp;&nbsp; 1871422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11th District Cost of Funds + 1.25%), 4.03%, <br> 11/01/27<sup>(b)</sup><br>| 3 | &nbsp;&nbsp; 3384 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.60%), 6.35%, 08/01/43<sup>(b)</sup> | 2 | &nbsp;&nbsp; 2497 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.64%), 6.25%, 08/01/41<sup>(b)</sup> | 9 | &nbsp;&nbsp; 9285 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.65%), 6.40%, 05/01/43<sup>(b)</sup> | 9 | &nbsp;&nbsp; 9668 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.75%), 6.75%, 04/01/38<sup>(b)</sup> | 26 | &nbsp;&nbsp; 26499 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.75%), 5.96%, 02/01/40<sup>(b)</sup> | 14 | &nbsp;&nbsp; 14326 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.79%), 6.41%, 09/01/32<sup>(b)</sup> | — <br><sup>(i)</sup><br>| &nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.89%), 6.60%, 07/01/41<sup>(b)</sup> | 3 | &nbsp;&nbsp; 3279 |
| &nbsp;&nbsp;&nbsp; (12-mo. RFUCCT US + 1.90%), 6.15%, 01/01/42<sup>(b)</sup> | — <br><sup>(i)</sup><br>| &nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp; (1-year CMT + 2.34%), 5.96%, 04/01/32<sup>(b)</sup> | 2 | &nbsp;&nbsp; 2382 |
| Ginnie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/28 - 09/20/55 | 1284 | &nbsp;&nbsp; 1334475 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/20/30 | 1 | &nbsp;&nbsp; 971 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/32 - 04/21/56<sup>(j)</sup> | 2635 | &nbsp;&nbsp; 2683596 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/33 - 04/21/56<sup>(j)</sup> | 3855 | &nbsp;&nbsp; 3836291 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/36 - 04/21/56<sup>(j)</sup> | 5080 | &nbsp;&nbsp; 5125695 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/15/39 - 04/21/56<sup>(j)</sup> | 2485 | &nbsp;&nbsp; 2426893 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/40 - 09/15/49 | 3536 | &nbsp;&nbsp; 3375164 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/41 - 02/20/52 | 4715 | &nbsp;&nbsp; 4409170 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/43 - 09/20/52 | 4943 | &nbsp;&nbsp; 4453793 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/46 - 04/20/52 | 5433 | &nbsp;&nbsp; 4655996 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/20/51 | 5257 | &nbsp;&nbsp; 4344909 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/27 - 01/01/52 | 9630 | &nbsp;&nbsp; 8744203 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/28 - 03/01/52 | 23427 | &nbsp;&nbsp; 20258300 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/29 - 04/13/56<sup>(j)</sup> | 6385 | &nbsp;&nbsp; 6226317 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/29 | — <br><sup>(i)</sup><br>| &nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/30 - 03/01/51<sup>(j)</sup> | 4512 | &nbsp;&nbsp; 4358380 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/30 - 04/13/56<sup>(j)</sup> | 4949 | &nbsp;&nbsp; 5176476 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/31 - 06/01/49 | 3576 | &nbsp;&nbsp; 3366878 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/32 - 06/01/32 | 6 | &nbsp;&nbsp; 7034 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/32 - 11/01/55 | 9723 | &nbsp;&nbsp; 9975935 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/32 - 04/13/56<sup>(j)</sup> | 10745 | &nbsp;&nbsp; 10893433 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/33 - 04/13/56<sup>(j)</sup> | 8999 | &nbsp;&nbsp; 8925796 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/35 - 12/01/51 | 34900 | &nbsp;&nbsp; 29144273 |
| &nbsp;&nbsp;&nbsp; 1.50%, 03/01/36 - 07/01/51 | 7214 | &nbsp;&nbsp; 5993491 |
|  |  | &nbsp;&nbsp; 163753308 |
| **Total U.S. Government Sponsored Agency Securities — 25.4%** <br>**(Cost: $187,410,640)** | **Total U.S. Government Sponsored Agency Securities — 25.4%** <br>**(Cost: $187,410,640)** | &nbsp;&nbsp; 170783784 |
| **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
| U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/15/41 | 11700 | &nbsp;&nbsp; 8091281 |
| &nbsp;&nbsp;&nbsp; 2.88%, 05/15/43 | 4000 | &nbsp;&nbsp; 3072031 |
| &nbsp;&nbsp;&nbsp; 4.13%, 08/15/44 | 13200 | &nbsp;&nbsp; 11975906 |
| &nbsp;&nbsp;&nbsp; 3.38%, 11/15/48 | 4200 | &nbsp;&nbsp; 3291258 |
| &nbsp;&nbsp;&nbsp; 1.63%, 11/15/50 | 4500 | &nbsp;&nbsp; 2347910 |
| U.S. Treasury Inflation-Indexed Bonds, 0.13%, 01/15/31 | 10686 | &nbsp;&nbsp; 10045535 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** |
| U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/29/28 | 201 | &nbsp;&nbsp; $201660 |
| &nbsp;&nbsp;&nbsp; 3.63%, 05/31/28 | 2800 | &nbsp;&nbsp; 2788953 |
| &nbsp;&nbsp;&nbsp; 4.63%, 04/30/29 | 7100 | &nbsp;&nbsp; 7260860 |
| &nbsp;&nbsp;&nbsp; 4.13%, 11/30/29 | 2000 | &nbsp;&nbsp; 2016563 |
| &nbsp;&nbsp;&nbsp; 4.38%, 11/30/30 | 30000 | &nbsp;&nbsp; 30542578 |
| &nbsp;&nbsp;&nbsp; 3.88%, 08/15/34 | 3770 | &nbsp;&nbsp; 3674130 |
| **Total U.S. Treasury Obligations — 12.7%** <br>**(Cost: $86,776,992)** | **Total U.S. Treasury Obligations — 12.7%** <br>**(Cost: $86,776,992)** | &nbsp;&nbsp; 85308665 |
| **Total Long-Term Investments — 98.7%** <br>**(Cost: $692,793,304)** | **Total Long-Term Investments — 98.7%** <br>**(Cost: $692,793,304)** | &nbsp;&nbsp; 663460841 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 3.4%** | **Money Market Funds — 3.4%** |  |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Institutional, SL Agency Shares, <br> 3.77%<sup>(k)(l)(m)</sup><br>| 22804234 | &nbsp;&nbsp; 22808795 |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Treasury, SL Agency Shares, <br> 3.62%<sup>(k)(l)</sup><br>| 100000 | &nbsp;&nbsp; 100000 |
|  |  | &nbsp;&nbsp; 22908795 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | *Par* <br>*(000)*<br>|  |
| **U.S. Government Sponsored Agency Securities — 0.5%** | **U.S. Government Sponsored Agency Securities — 0.5%** |  |
| &nbsp;&nbsp;&nbsp; Fannie Mae-Aces, Series 2016-M13, Class A2, 2.53%, <br> 09/25/26<sup>(b)</sup><br>| $523 | &nbsp;&nbsp; 519430 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Mortgage-Backed Securities, 2.50%, <br> 02/01/27<br>| 41 | &nbsp;&nbsp; 40590 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Multifamily Structured Pass Through <br> Certificates<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series K060, Class A2, 3.30%, 10/25/26 | 1190 | &nbsp;&nbsp; 1183524 |
| &nbsp;&nbsp;&nbsp; Series K061, Class A2, 3.35%, 11/25/26<sup>(b)</sup> | 1500 | &nbsp;&nbsp; 1492099 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/26 | — <br><sup>(i)</sup><br>| &nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/26 | 1 | &nbsp;&nbsp; 523 |
|  |  | &nbsp;&nbsp; 3236357 |
| **U.S. Treasury Obligations — 1.9%** | **U.S. Treasury Obligations — 1.9%** |  |
| U.S. Treasury Bills<sup>(n)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 3.78%, 04/23/26 | 2 | &nbsp;&nbsp; 1995 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** |  |
| U.S. Treasury Bills<sup>(n)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 3.69%, 05/07/26 | 7650 | &nbsp;&nbsp; $7622135 |
| &nbsp;&nbsp;&nbsp; 3.80%, 03/18/27 | 3200 | &nbsp;&nbsp; 3089972 |
| &nbsp;&nbsp;&nbsp; 3.81%, 03/18/27 | 2000 | &nbsp;&nbsp; 1931232 |
|  |  | &nbsp;&nbsp; 12645334 |
| **Total Short-Term Securities — 5.8%** <br>**(Cost: $38,801,944)** | **Total Short-Term Securities — 5.8%** <br>**(Cost: $38,801,944)** | &nbsp;&nbsp; 38790486 |
| **Total Investments Before TBA Sale Commitments — 104.5%** <br>**(Cost: $731,595,248)** | **Total Investments Before TBA Sale Commitments — 104.5%** <br>**(Cost: $731,595,248)** | &nbsp;&nbsp; 702251327 |
| **TBA Sale Commitments**<sup>(j)</sup> | **TBA Sale Commitments**<sup>(j)</sup> | **TBA Sale Commitments**<sup>(j)</sup> |
| **Mortgage-Backed Securities — (0.6)%** | **Mortgage-Backed Securities — (0.6)%** |  |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/13/56 | (1075)<br>| &nbsp;&nbsp; (1037381)<br>|
| &nbsp;&nbsp;&nbsp; 5.00%, 04/13/56 | (1775)<br>| &nbsp;&nbsp; (1750375)<br>|
| &nbsp;&nbsp;&nbsp; 6.50%, 04/13/56 | (775)<br>| &nbsp;&nbsp; (801740)<br>|
| **Total TBA Sale Commitments — (0.6)%** <br>**(Proceeds: $(3611456))** | **Total TBA Sale Commitments — (0.6)%** <br>**(Proceeds: $(3611456))** | &nbsp;&nbsp; (3589496)<br>|
| **Total Investments, Net of TBA Sale Commitments — 103.9%** <br>**(Cost: $727,983,792)** | **Total Investments, Net of TBA Sale Commitments — 103.9%** <br>**(Cost: $727,983,792)** | &nbsp;&nbsp; 698661831 |
| **Liabilities in Excess of Other Assets — (3.9)%** | **Liabilities in Excess of Other Assets — (3.9)%** | &nbsp;&nbsp; (26400846)<br>|
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | &nbsp;&nbsp; $672260985 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. 

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. 

<sup>(c)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. 

<sup>(d)</sup> Non-income producing security.

<sup>(e)</sup> Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. 

<sup>(f)</sup> All or a portion of this security is on loan.

<sup>(g)</sup> When-issued security.

<sup>(h)</sup> Perpetual security with no stated maturity date.

<sup>(i)</sup> Rounds to less than 1,000.

<sup>(j)</sup> Represents or includes a TBA transaction.

<sup>(k)</sup> Affiliate of the Master Portfolio.

<sup>(l)</sup> Annualized 7-day yield as of period end.

<sup>(m)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities. 

<sup>(n)</sup> Rates are discount rates or a range of discount rates as of period end.

For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Master Portfolio for compliance purposes.

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**Affiliates**

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the period ended March 31, 2026 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at* <br>*12/31/25*<br>| *Purchases* <br>*at Cost*<br>| *Proceeds* <br>*from Sales*<br>| *Net* <br>*Realized* <br>*Gain (Loss)*<br>| *Change in* <br>*Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>| *Value at* <br>*03/31/26*<br>| *Shares* <br>*Held at* <br>*03/31/26*<br>| *Income* | *Capital Gain* <br>*Distributions* <br>*from* <br>*Underlying* <br>*Funds*<br>|
| BlackRock Cash Funds: Institutional, SL Agency Shares | $29258297 | $— | $(6438754 )<sup>(a)</sup><br>| &nbsp;&nbsp; $(6151)<br>| $(4597)<br>| $22808795 | 22804234 | $64279 <br><sup>(b)</sup><br>| &nbsp;&nbsp; $— |
| BlackRock Cash Funds: Treasury, SL Agency Shares | 100000 |  |  | &nbsp;&nbsp; — |  | 100000 | 100000 | 876 | &nbsp;&nbsp; — |
|  |  |  |  | &nbsp;&nbsp; $(6151)<br>| $(4597)<br>| $22908795 |  | $65155 | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Represents net amount purchased (sold).

<sup>(b)</sup> All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of collateral investment fees, and other payments to and from borrowers of securities. 

**Derivative Financial Instruments Outstanding as of Period End**

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of* <br>*Contracts*<br>| &nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount (000)*<br>| &nbsp;&nbsp;&nbsp; *Value/* <br>*Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| Long Contracts  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; 10-Year U.S. Ultra Long Treasury Note | &nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; 06/18/26 | &nbsp;&nbsp;&nbsp;&nbsp; $9756 | &nbsp;&nbsp;&nbsp;&nbsp; $(177535)<br>|
| &nbsp;&nbsp;&nbsp; U.S. Long Bond | &nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 06/18/26 | &nbsp;&nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp;&nbsp;&nbsp; (7959)<br>|
| &nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | &nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp; 06/18/26 | &nbsp;&nbsp;&nbsp;&nbsp; 25589 | &nbsp;&nbsp;&nbsp;&nbsp; (767508)<br>|
| &nbsp;&nbsp;&nbsp; 10-Year Canadian Bond | &nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 06/19/26 | &nbsp;&nbsp;&nbsp;&nbsp; 1294 | &nbsp;&nbsp;&nbsp;&nbsp; 5356 |
| &nbsp;&nbsp;&nbsp; 2-Year U.S. Treasury Note | &nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp; 06/30/26 | &nbsp;&nbsp;&nbsp;&nbsp; 58091 | &nbsp;&nbsp;&nbsp;&nbsp; (9408)<br>|
| &nbsp;&nbsp;&nbsp; 5-Year U.S. Treasury Note | &nbsp;&nbsp; 720 | &nbsp;&nbsp;&nbsp;&nbsp; 06/30/26 | &nbsp;&nbsp;&nbsp;&nbsp; 77884 | &nbsp;&nbsp;&nbsp;&nbsp; (823643)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (1780697)<br>|
| Short Contracts  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro Bund | &nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 06/08/26 | &nbsp;&nbsp;&nbsp;&nbsp; 4928 | &nbsp;&nbsp;&nbsp;&nbsp; 4198 |
| &nbsp;&nbsp;&nbsp; 10-Year Australian Treasury Bonds | &nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 06/15/26 | &nbsp;&nbsp;&nbsp;&nbsp; 2379 | &nbsp;&nbsp;&nbsp;&nbsp; (10759)<br>|
| &nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | &nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 06/18/26 | &nbsp;&nbsp;&nbsp;&nbsp; 4217 | &nbsp;&nbsp;&nbsp;&nbsp; (23051)<br>|
| &nbsp;&nbsp;&nbsp; Long Gilt | &nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 06/26/26 | &nbsp;&nbsp;&nbsp;&nbsp; 1162 | &nbsp;&nbsp;&nbsp;&nbsp; (6590)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (36202)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $(1816899)<br>|

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| USD | 73237 | CAD | 100000 | Toronto-Dominion Bank | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1112 |
| USD | 124383 | CZK | 2625000 | Deutsche Bank AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 656 |
| USD | 34941 | EUR | 30000 | The Bank of New York Mellon | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 |
| USD | 373222 | GBP | 280000 | HSBC Bank PLC | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2697 |
| USD | 119910 | GBP | 90000 | Natwest Markets PLC | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 813 |
| USD | 53583 | GBP | 40000 | The Bank of New York Mellon | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 651 |
| USD | 729800 | MXN | 13112000 | JPMorgan Chase Bank N.A. | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2720 |
| USD | 413308 | PLN | 1527000 | Deutsche Bank AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2073 |
| USD | 322507 | SEK | 2998000 | Bank of Montreal | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4602 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $15469 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**Centrally Cleared Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing* <br>*Rate Paid* <br>*by the Master Portfolio*<br>| &nbsp;&nbsp; *Payment* <br>*Frequency*<br>| &nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount (000)* | &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount (000)* | *Value* | &nbsp;&nbsp; *Upfront* <br>*Premium* <br>*Paid* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Received)*<br>| &nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| CDX.NA.HY.46.V1 | 5.00<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; Quarterly | &nbsp;&nbsp;&nbsp;&nbsp; 06/20/31 |  | 23692 | &nbsp;&nbsp;&nbsp;&nbsp; $(1176092)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(945428)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(230664)<br>|
| CDX.NA.IG.46.V1 | 1.00 | &nbsp;&nbsp;&nbsp;&nbsp; Quarterly | &nbsp;&nbsp;&nbsp;&nbsp; 06/20/31 | USD | 99542 | &nbsp;&nbsp;&nbsp;&nbsp; (1751361)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (1714844)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (36517)<br>|
| iTraxx.XO.45.V1 | 5.00 | &nbsp;&nbsp;&nbsp;&nbsp; Quarterly | &nbsp;&nbsp;&nbsp;&nbsp; 06/20/31 | EUR | 15442 | &nbsp;&nbsp;&nbsp;&nbsp; (1146266)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (1180293)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 34027 |
| CDX.NA.IG.46.V1 | 1.00 | &nbsp;&nbsp;&nbsp;&nbsp; Quarterly | &nbsp;&nbsp;&nbsp;&nbsp; 06/20/36 | USD | 4577 | &nbsp;&nbsp;&nbsp;&nbsp; (1131)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 9725 | &nbsp;&nbsp;&nbsp;&nbsp; (10856)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $(4074850)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(3830840)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(244010)<br>|

---

**Centrally Cleared Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing* <br>*Rate Received* <br>*by the Master Portfolio*<br>| &nbsp;&nbsp;&nbsp; *Payment* <br>*Frequency*<br>| &nbsp;&nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Credit* <br>*Rating*<br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount (000)* | &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount (000)* | *Value* | &nbsp;&nbsp; *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| &nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| iTraxx.XO.43.V3 | 5.00<br> % <br>| Quarterly | 06/20/30 | CCC+ |  |  | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— |
| CDX.EM.45.V1 | 1.00 | Quarterly | 06/20/31 | BB | USD | 13140 | &nbsp;&nbsp;&nbsp; (550353)<br>| &nbsp;&nbsp;&nbsp; (561889)<br>| &nbsp;&nbsp;&nbsp; 11536 |
|  |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp; $(550353)<br>| &nbsp;&nbsp;&nbsp; $(561889)<br>| &nbsp;&nbsp;&nbsp; $11536 |

---

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Master Portfolio | Paid by the Master Portfolio | Received by the Master Portfolio | Received by the Master Portfolio | *Effective* <br>*Date* | &nbsp;&nbsp; *Termination* <br>*Date* | *Notional* <br>*Amount (000)* | *Notional* <br>*Amount (000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Effective* <br>*Date* | &nbsp;&nbsp; *Termination* <br>*Date* | *Notional* <br>*Amount (000)* | *Notional* <br>*Amount (000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| 6-mo. EURIBOR, 2.48% | Semi-Annual | 2.62% | Annual | 09/16/26 | 09/16/28 | EUR | 18530 | $(121390)<br>| $38572 | $(159962)<br>|
| 6-mo. EURIBOR, 2.48% | Semi-Annual | 2.94% | Annual | 09/16/26 | 09/16/28 | EUR | 18170 | 7912 | 8449 | (537)<br>|
| 3.31% | Annual | 1-day SOFR, 3.68% | Annual | 09/16/26 | 09/16/28 | USD | 130961 | 655405 | (112173)<br>| 767578 |
| 1-day SOFR, 3.68% | Annual | 3.68% | Annual | 09/16/26 | 09/16/28 | USD | 22771 | 47118 | 41951 | 5167 |
| 2.74% | Annual | 6-mo. EURIBOR, 2.48% | Semi-Annual | 09/16/26 | 09/16/31 | EUR | 61370 | 648836 | (242036)<br>| 890872 |
| 2.97% | Annual | 6-mo. EURIBOR, 2.48% | Semi-Annual | 09/16/26 | 09/16/31 | EUR | 7625 | (11510)<br>| (6808)<br>| (4702)<br>|
| 1-day SOFR, 3.68% | Annual | 3.43% | Annual | 09/16/26 | 09/16/31 | USD | 55483 | (516843)<br>| (575672)<br>| 58829 |
| 3.74% | Annual | 1-day SOFR, 3.68% | Annual | 09/16/26 | 09/16/31 | USD | 9595 | (42430)<br>| (37400)<br>| (5030)<br>|
| 2.89% | Annual | 6-mo. EURIBOR, 2.48% | Semi-Annual | N/A | 01/28/36 | EUR | 2500 | 36071 | 50 | 36021 |
| 2.81% | Annual | 6-mo. EURIBOR, 2.48% | Semi-Annual | N/A | 02/12/36 | EUR | 745 | 16499 | 15 | 16484 |
| 2.85% | Annual | 6-mo. EURIBOR, 2.48% | Semi-Annual | N/A | 02/12/36 | EUR | 745 | 14090 | (2428)<br>| 16518 |
| 6-mo. EURIBOR, 2.48% | Semi-Annual | 2.96% | Annual | 09/16/26 | 09/16/36 | EUR | 47113 | (716065)<br>| 183802 | (899867)<br>|
| 6-mo. EURIBOR, 2.48% | Semi-Annual | 3.15% | Annual | 09/16/26 | 09/16/36 | EUR | 750 | 2565 | 1497 | 1068 |
| 1-day SOFR, 3.68% | Annual | 3.91% | Annual | 09/16/26 | 09/16/36 | USD | 3720 | 1433 | 11245 | (9812)<br>|
| 1-day SOFR, 3.68% | Annual | 3.99% | Annual | 09/16/26 | 09/16/36 | USD | 3730 | 25477 | 25216 | 261 |
| 1-day SONIA, 3.73% | Annual | 4.26% | Annual | 09/16/26 | 09/16/36 | GBP | 45147 | (1038786)<br>| 142803 | (1181589)<br>|
| 3.03% | Annual | 6-mo. EURIBOR, 2.48% | Semi-Annual | 09/16/26 | 09/16/56 | EUR | 8066 | 139573 | 60662 | 78911 |
| 3.13% | Annual | 6-mo. EURIBOR, 2.48% | Semi-Annual | 09/16/26 | 09/16/56 | EUR | 140 | (707)<br>| 162 | (869)<br>|
| 4.12% | Annual | 1-day SOFR, 3.68% | Annual | 09/16/26 | 09/16/56 | USD | 1780 | 6884 | (3325)<br>| 10209 |
| 4.17% | Annual | 1-day SOFR, 3.68% | Annual | 09/16/26 | 09/16/56 | USD | 1800 | (8400)<br>| (17005)<br>| 8605 |
| 4.64% | Annual | 1-day SONIA, 3.73% | Annual | 09/16/26 | 09/16/56 | GBP | 22857 | 829623 | (41788)<br>| 871411 |
| 4.83% | Annual | 1-day SONIA, 3.73% | Annual | 09/16/26 | 09/16/56 | GBP | 300 | (407)<br>| (1942)<br>| 1535 |
|  |  |  |  |  |  |  |  | $(25052)<br>| $(526153)<br>| $501101 |

---

**Centrally Cleared Inflation Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Master Portfolio | Paid by the Master Portfolio | Received by the Master Portfolio | Received by the Master Portfolio | &nbsp;&nbsp; *Termination* <br>*Date* | &nbsp;&nbsp; *Notional* <br>*Amount (000)* | &nbsp;&nbsp; *Notional* <br>*Amount (000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| *Reference* | *Frequency* | *Rate* | *Frequency* | &nbsp;&nbsp; *Termination* <br>*Date* | &nbsp;&nbsp; *Notional* <br>*Amount (000)* | &nbsp;&nbsp; *Notional* <br>*Amount (000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| 2.47% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 11/18/35 | USD | 430 | &nbsp;&nbsp; $(1980)<br>| &nbsp;&nbsp; $9 | &nbsp;&nbsp; $(1989)<br>|
| 2.46% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 01/22/36 | USD | 850 | &nbsp;&nbsp; (3048)<br>| &nbsp;&nbsp; 17 | &nbsp;&nbsp; (3065)<br>|

---

Master Portfolio Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**Centrally Cleared Inflation Swaps (continued)**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Master Portfolio | Paid by the Master Portfolio | Received by the Master Portfolio | Received by the Master Portfolio | &nbsp;&nbsp; *Termination*<br> *Date* | &nbsp;&nbsp; *Notional*<br> *Amount (000)* | &nbsp;&nbsp; *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| *Reference* | *Frequency* | *Rate* | *Frequency* | &nbsp;&nbsp; *Termination*<br> *Date* | &nbsp;&nbsp; *Notional*<br> *Amount (000)* | &nbsp;&nbsp; *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| 2.46% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 01/23/36 | USD | 1690 | &nbsp;&nbsp; $(6965)<br>| &nbsp;&nbsp; $35 | &nbsp;&nbsp; $(7000)<br>|
| 2.48% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 01/26/36 | USD | 1690 | &nbsp;&nbsp; (8888)<br>| &nbsp;&nbsp; 35 | &nbsp;&nbsp; (8923)<br>|
| 2.49% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 01/29/36 | USD | 2530 | &nbsp;&nbsp; (15354)<br>| &nbsp;&nbsp; 53 | &nbsp;&nbsp; (15407)<br>|
| 2.48% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 02/11/36 | USD | 1520 | &nbsp;&nbsp; (6564)<br>| &nbsp;&nbsp; 32 | &nbsp;&nbsp; (6596)<br>|
| 1.96% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 02/15/36 | EUR | 670 | &nbsp;&nbsp; 18214 | &nbsp;&nbsp; (148)<br>| &nbsp;&nbsp; 18362 |
| 1.98% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 02/15/36 | EUR | 340 | &nbsp;&nbsp; 8655 | &nbsp;&nbsp; 90 | &nbsp;&nbsp; 8565 |
| 1.98% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 02/15/36 | EUR | 680 | &nbsp;&nbsp; 17331 | &nbsp;&nbsp; (1142)<br>| &nbsp;&nbsp; 18473 |
| 1.99% | At Termination | &nbsp;&nbsp;&nbsp; Eurostat Eurozone HICP Ex <br> Tobacco Unrevised<br>| At Termination | 02/15/36 | EUR | 250 | &nbsp;&nbsp; 6184 | &nbsp;&nbsp; (42)<br>| &nbsp;&nbsp; 6226 |
| 3.10% | At Termination | UK RPI All Items NSA | At Termination | 02/15/36 | GBP | 610 | &nbsp;&nbsp; 28903 | &nbsp;&nbsp; 723 | &nbsp;&nbsp; 28180 |
| 3.10% | At Termination | UK RPI All Items NSA | At Termination | 02/15/36 | GBP | 300 | &nbsp;&nbsp; 14482 | &nbsp;&nbsp; 143 | &nbsp;&nbsp; 14339 |
| 3.11% | At Termination | UK RPI All Items NSA | At Termination | 02/15/36 | GBP | 880 | &nbsp;&nbsp; 40916 | &nbsp;&nbsp; 617 | &nbsp;&nbsp; 40299 |
| 2.42% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 02/20/36 | USD | 1290 | &nbsp;&nbsp; 667 | &nbsp;&nbsp; 27 | &nbsp;&nbsp; 640 |
| 2.43% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 02/23/36 | USD | 110 | &nbsp;&nbsp; (30)<br>| &nbsp;&nbsp; 2 | &nbsp;&nbsp; (32)<br>|
| 2.43% | At Termination | &nbsp;&nbsp;&nbsp; US CPI for All Urban <br> Consumers NSA<br>| At Termination | 04/02/36 | USD | 320 | &nbsp;&nbsp; (247)<br>| &nbsp;&nbsp; 7 | &nbsp;&nbsp; (254)<br>|
|  |  |  |  |  |  |  | &nbsp;&nbsp; $92276 | &nbsp;&nbsp; $458 | &nbsp;&nbsp; $91818 |

---

**Fair Value Hierarchy as of Period End**

Various inputs are used in determining the fair value of financial instruments at the measurement date. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges that the Master Portfolio has the ability to access for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolio's policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Master Portfolio's financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $36435151 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $36435151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 264520033 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 264520033 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**Advantage CoreAlpha Bond Master Portfolio** 

**Fair Value Hierarchy as of Period End (continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Agency Obligations | &nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $4191255 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $4191255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3368528 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3368528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 96831911 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 96831911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Trusts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2021513 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2021513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 170783784 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 170783784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 85308665 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 85308665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | &nbsp;&nbsp; 22908795 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 22908795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3236357 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3236357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12645334 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12645334 |
| Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3589496)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3589496)<br>|
|  | &nbsp;&nbsp; $22908795 | &nbsp;&nbsp;&nbsp;&nbsp; $675753035 | &nbsp;&nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp;&nbsp;&nbsp; $698661831 |
| Derivative Financial Instruments<sup>(a)</sup> <br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Assets  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $45563 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $45563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15469 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; 9554 | &nbsp;&nbsp;&nbsp;&nbsp; 2763469 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2773023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 135084 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 135084 |
| &nbsp;&nbsp;&nbsp; Liabilities  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (278037)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (278037)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; (1826453)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (2262368)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4088821)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (43266)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (43266)<br>|
|  | &nbsp;&nbsp; $(1816899)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $375914 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(1440985)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Currency Abbreviation**  | **Currency Abbreviation**  |
| CAD | Canadian Dollar |
| CZK | Czech Koruna |
| EUR | Euro |
| GBP | British Pound |
| MXN | Mexican Peso |
| PLN | Polish Zloty |
| SEK | Swedish Krona |
| USD | United States Dollar |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Portfolio Abbreviation**  | **Portfolio Abbreviation**  |
| ABS | Asset-Backed Security |
| ARB | Airport Revenue Bonds  |
| BAB | Build America Bond |
| CME | Chicago Mercantile Exchange  |
| CMT | Constant Maturity Treasury |
| CPI | Consumer Price Index |
| CVR | Contingent Value Right |
| EURIBOR | Euro Interbank Offered Rate |
| GO | General Obligation Bonds |

---

---

| | |
|:---|:---|
| **Portfolio Abbreviation (continued)** | **Portfolio Abbreviation (continued)** |
| GOL | General Obligation Ltd. |
| MSCI | Morgan Stanley Capital International |
| PIK | Payment-in-Kind |
| RB | Revenue Bonds |
| REIT | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| RFUCCT | Refinitiv USD IBOR Consumer Cash Fallbacks Term |
| S&P | Standard & Poor's |
| SOFR | Secured Overnight Financing Rate  |
| SONIA | Sterling Overnight Interbank Average Rate |
| STACR | Structured Agency Credit Risk |
| TBA | To-Be-Announced |
| UK RPI | United Kingdom Retail Price Index |

---

Master Portfolio Schedule of Investments

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Master Investment Portfolio II

- **b. Investment Company Act file number:** 811-23343

- **c. CIK number of Registrant:** 0001738077

- **d. LEI of Registrant:** 549300RCV7V0VQXTCW11

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

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

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

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

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

- **a. Name of Series:** Advantage CoreAlpha Bond Master Portfolio

- **b. EDGAR series identifier (if any):** S000062381

- **c. LEI of Series:** 0I7UWC3FB187VDB5KB30

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $744825121.53

**Total Liabilities:** $72112540.31

**Net Assets:** $672712581.22

**Delayed Delivery Securities:** $180000.00

**Cash Not Reported:** $19574589.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 15954.44000000 | **1-Year:** 7794.09000000 | **5-Year:** 71921.66000000 | **10-Year:** 48608.84000000 | **30-Year:** 63418.00000000

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

- **3-Month:** 4250.90000000 | **1-Year:** -10279.42000000 | **5-Year:** -16646.30000000 | **10-Year:** 97345.32000000 | **30-Year:** -70745.53000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202350 | 0.28%                | 1.51%                | -1.89%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $183031.38               | $-195123.16                                |
| Month 2  | $543730.73               | $5954906.60                                |
| Month 3  | $-578233.16              | $-12588570.25                              |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACHV ABS TRUST                                                                   | ACHV ABS TRUST 2024-1PL                                                         | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238284 | PA      | $240309.94    | 0.04%             | 2031-04-25      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                        | Aflac Inc                                                                       | CUSIP: 001055AY8<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |     45000 | PA      | $38649.15     | 0.01%             | 2049-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                   | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    260000 | PA      | $235312.06    | 0.03%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                   | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    140000 | PA      | $124875.70    | 0.02%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                                                     | ADT Security Corp/The                                                           | CUSIP: 00109LAB9<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145276.43    | 0.02%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     30000 | PA      | $19725.75     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                         | CUSIP: 00115AAP4<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    130000 | PA      | $106867.68    | 0.02%             | 2052-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                                     | AES Corp/The                                                                    | CUSIP: 00130HCK9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     77000 | PA      | $76377.69     | 0.01%             | 2055-01-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                | CUSIP: 00164VAK9<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |    189000 | PA      | $186528.65    | 0.03%             | 2032-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| APLD COMPUTECO LLC                                                               | APLD ComputeCo LLC                                                              | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    395000 | PA      | $406977.19    | 0.06%             | 2030-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                        | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    385000 | PA      | $358557.65    | 0.05%             | 2039-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                        | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2162530.81   | 0.32%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                        | CUSIP: 00206RNK4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    870000 | PA      | $851216.05    | 0.13%             | 2056-04-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                              | Abbott Laboratories                                                             | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    265000 | PA      | $243249.40    | 0.04%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    135000 | PA      | $118580.60    | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    145000 | PA      | $129315.49    | 0.02%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43886.22     | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    260000 | PA      | $248262.82    | 0.04%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YDX4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    165000 | PA      | $157341.56    | 0.02%             | 2064-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                                            | Accenture Capital Inc                                                           | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |     95000 | PA      | $91850.72     | 0.01%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| ACRISURE LLC / FIN INC                                                           | Acrisure LLC / Acrisure Finance Inc                                             | CUSIP: 004961AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $48181.16     | 0.01%             | 2032-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ACUSHNET CO                                                                      | Acushnet Co                                                                     | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64497.02     | 0.01%             | 2033-12-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                            | AECOM                                                                           | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |     66000 | PA      | $65927.49     | 0.01%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBM6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1300000 | PA      | $1263499.46   | 0.19%             | 2034-09-10      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEM                                                         | Advanced Drainage Systems Inc                                                   | CUSIP: 00790RAC8<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53521.64     | 0.01%             | 2034-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC                                                               | Osaic Holdings Inc                                                              | CUSIP: 00791GAB3<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |     85000 | PA      | $85010.62     | 0.01%             | 2032-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC                                                               | Osaic Holdings Inc                                                              | CUSIP: 00791GAC1<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74040.17     | 0.01%             | 2033-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AETHON UN/AETHIN UN FIN                                                          | Aethon United BR LP / Aethon United Finance Corp                                | CUSIP: 00810GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     96000 | PA      | $100124.64    | 0.01%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust Series 2025-3                                               | CUSIP: 00833BAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1460000 | PA      | $1450945.66   | 0.22%             | 2034-10-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust Series 2025-3                                               | CUSIP: 00833BAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600000 | PA      | $2582915.66   | 0.38%             | 2034-10-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                       | CUSIP: 00833QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1050770.70   | 0.16%             | 2029-12-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                       | CUSIP: 00833QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $526316.33    | 0.08%             | 2029-12-17      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-X1                                       | CUSIP: 00834KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210879 | PA      | $211586.79    | 0.03%             | 2028-11-15      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2001896.60   | 0.30%             | 2030-04-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2008770.60   | 0.30%             | 2030-04-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X1                                       | CUSIP: 00834XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1750388.15   | 0.26%             | 2029-05-15      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-B                                        | CUSIP: 00835AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3501826.30   | 0.52%             | 2029-09-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X2                                       | CUSIP: 00835DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $751003.28    | 0.11%             | 2030-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| AIR PRODUCTS & CHEMICALS                                                         | Air Products and Chemicals Inc                                                  | CUSIP: 009158AZ9<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |     87000 | PA      | $64001.40     | 0.01%             | 2040-05-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| ALABAMA POWER CO                                                                 | Alabama Power Co                                                                | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    370000 | PA      | $257162.65    | 0.04%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                                           | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC           | CUSIP: 01309QAD0<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    215000 | PA      | $210344.45    | 0.03%             | 2034-03-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALLEGION PLC                                                                     | Allegion plc                                                                    | CUSIP: 01748TAB7<br>LEI: 984500560CAC2E6FB757 | Long             | DBT              | CORP              | IE        |     90000 | PA      | $86682.71     | 0.01%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                                                            | Bread Financial Holdings Inc                                                    | CUSIP: 018581AQ1<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70774.97     | 0.01%             | 2035-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| BREAD FINANCIAL HLDGS                                                            | Bread Financial Holdings Inc                                                    | CUSIP: 018581AR9<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99224.71     | 0.01%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALLINA HEALTH SYSTEM                                                             | Allina Health System                                                            | CUSIP: 01959LAE2<br>LEI: 5493001V00JCD7SQ0G44 | Long             | DBT              | CORP              | US        |    230000 | PA      | $144030.18    | 0.02%             | 2051-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040446<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1275000 | PA      | $1245079.91   | 0.19%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $530753.12    | 0.08%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2100000 | PA      | $2070865.94   | 0.31%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3900000 | PA      | $3917963.05   | 0.58%             | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                    | Allstate Corp/The                                                               | CUSIP: 020002BL4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    470000 | PA      | $479236.08    | 0.07%             | 2029-06-24      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                              | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27026.50     | 0.00%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                             | Alpha Generation LLC                                                            | CUSIP: 02073LAC5<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |     29000 | PA      | $28487.96     | 0.00%             | 2034-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                    | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    335000 | PA      | $168464.95    | 0.03%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| ALPHABET INC                                                                     | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1942562.03   | 0.29%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTAGAS LTD                                                                      | AltaGas Ltd                                                                     | CUSIP: 021361AD2<br>LEI: 2549008X5V70MOS4HM10 | Long             | DBT              | CORP              | CA        |    109000 | PA      | $110523.49    | 0.02%             | 2054-10-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    727000 | PA      | $729871.24    | 0.11%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    600000 | PA      | $581727.35    | 0.09%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBK8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    215000 | PA      | $167984.27    | 0.02%             | 2050-05-06      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1360110.37   | 0.20%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    430000 | PA      | $295992.34    | 0.04%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBP7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    965000 | PA      | $673966.22    | 0.10%             | 2061-02-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    135000 | PA      | $138271.29    | 0.02%             | 2035-02-06      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                   | Amazon.com Inc                                                                  | CUSIP: 023135DH6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    110000 | PA      | $109911.60    | 0.02%             | 2056-03-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                                               | Ameren Illinois Co                                                              | CUSIP: 02361DBB5<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72084.32     | 0.01%             | 2054-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP                                                          | American National Group Inc                                                     | CUSIP: 025676AR8<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |     86000 | PA      | $81555.69     | 0.01%             | 2055-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    186000 | PA      | $185265.80    | 0.03%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DK2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    255000 | PA      | $260597.62    | 0.04%             | 2034-07-28      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    720000 | PA      | $723920.63    | 0.11%             | 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        |   1155000 | PA      | $1175737.07   | 0.17%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    390000 | PA      | $377094.55    | 0.06%             | 2036-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                           | American Honda Finance Corp                                                     | CUSIP: 02665WFE6<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    450000 | PA      | $452982.78    | 0.07%             | 2029-03-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| AMERICAN INTERNATIONAL                                                           | American International Group Inc                                                | CUSIP: 026874DW4<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    470000 | PA      | $474721.73    | 0.07%             | 2030-05-07      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    280000 | PA      | $288752.74    | 0.04%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     60000 | PA      | $60699.37     | 0.01%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCM0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     70000 | PA      | $70632.95     | 0.01%             | 2035-01-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                     | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    270000 | PA      | $253460.00    | 0.04%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                     | CUSIP: 03040WBC8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61606.71     | 0.01%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAP0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1427000 | PA      | $1405417.97   | 0.21%             | 2027-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    117000 | PA      | $106696.45    | 0.02%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    420000 | PA      | $425727.97    | 0.06%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    155000 | PA      | $156107.21    | 0.02%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                                                         | Ameriprise Financial Inc                                                        | CUSIP: 03076CAN6<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |    720000 | PA      | $743926.92    | 0.11%             | 2028-12-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    283000 | PA      | $290536.57    | 0.04%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     76000 | PA      | $80515.69     | 0.01%             | 2030-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                       | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    800000 | PA      | $795288.49    | 0.12%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    165000 | PA      | $159809.45    | 0.02%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                       | CUSIP: 031162DY3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    115000 | PA      | $111483.79    | 0.02%             | 2056-02-19      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC                                                             | Amkor Technology Inc                                                            | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |     79000 | PA      | $78676.80     | 0.01%             | 2033-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMNEAL PHARMACEUTICALS L                                                         | Amneal Pharmaceuticals LLC                                                      | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |    248000 | PA      | $255303.10    | 0.04%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                                     | ams-OSRAM AG                                                                    | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |    106000 | PA      | $112568.40    | 0.02%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AU9<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    385000 | PA      | $362257.26    | 0.05%             | 2028-10-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    240000 | PA      | $172064.10    | 0.03%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     30000 | PA      | $19060.64     | 0.00%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| ANTERO MIDSTREAM PART/FI                                                         | Antero Midstream Partners LP / Antero Midstream Finance Corp                    | CUSIP: 03690AAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $54389.84     | 0.01%             | 2033-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                                                         | Antero Midstream Partners LP / Antero Midstream Finance Corp                    | CUSIP: 03690AAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $73907.38     | 0.01%             | 2034-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| APOLLO CMMRL REAL EST FI                                                         | Apollo Commercial Real Estate Finance Inc                                       | CUSIP: 03762UAD7<br>LEI: 549300E0AN7M2AQHSY29 | Long             | DBT              |  | US        |    110000 | PA      | $109113.57    | 0.02%             | 2029-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                             | Appalachian Power Co                                                            | CUSIP: 037735CW5<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88802.65     | 0.01%             | 2027-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                   | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    350000 | PA      | $352030.80    | 0.05%             | 2029-12-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    815000 | PA      | $822996.63    | 0.12%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                                         | Aptiv Swiss Holdings Ltd                                                        | CUSIP: 03837AAD2<br>LEI: 254900HTTDFIJZ32GX53 | Long             | DBT              | CORP              | JE        |     84000 | PA      | $84782.69     | 0.01%             | 2054-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                                              | Arbor Realty SR Inc                                                             | CUSIP: 03881NAJ6<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              |  | US        |    156000 | PA      | $144257.69    | 0.02%             | 2030-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                                              | Arbor Realty SR Inc                                                             | CUSIP: 03881NAL1<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              |  | US        |    146000 | PA      | $143486.26    | 0.02%             | 2028-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| ARCHROCK SERVICES/PARTNE                                                         | Archrock Services LP / Archrock Partners Finance Corp                           | CUSIP: 03958CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $39602.52     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                                  | Ardagh Group SA                                                                 | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |    147000 | PA      | $123531.45    | 0.02%             | 2030-12-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| ARES MANAGEMENT CORP                                                             | Ares Management Corp                                                            | CUSIP: 03990BAB7<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |    463000 | PA      | $407833.55    | 0.06%             | 2054-10-11      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    352000 | PA      | $349087.50    | 0.05%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    425000 | PA      | $401289.85    | 0.06%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBL6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192299.45    | 0.03%             | 2031-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                       | CUSIP: 040555CW2<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293488.00    | 0.04%             | 2027-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                       | CUSIP: 040555DH4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51747.05     | 0.01%             | 2034-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                            | Arrow Electronics Inc                                                           | CUSIP: 04273WAE1<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    880000 | PA      | $902095.35    | 0.13%             | 2034-04-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ASSURED GUARANTY US HLDG                                                         | Assured Guaranty US Holdings Inc                                                | CUSIP: 04621WAF7<br>LEI: 5493007YCE0652G9TZ64 | Long             | DBT              | CORP              | US        |    335000 | PA      | $346771.31    | 0.05%             | 2028-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                                     | Assurant Inc                                                                    | CUSIP: 04621XAK4<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |    108000 | PA      | $108666.07    | 0.02%             | 2048-03-27      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                                     | Assurant Inc                                                                    | CUSIP: 04621XAQ1<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |    305000 | PA      | $305618.73    | 0.05%             | 2036-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                                                  | AstraZeneca PLC                                                                 | CUSIP: 046353AM0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $172745.67    | 0.03%             | 2045-11-16      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                              | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     30000 | PA      | $20290.31     | 0.00%             | 2051-05-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                              | CUSIP: 04686JAE1<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     55000 | PA      | $33290.11     | 0.00%             | 2052-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| ATLANTIC CITY ELECTRIC                                                           | Atlantic City Electric Co                                                       | CUSIP: 048303CJ8<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |    370000 | PA      | $333318.93    | 0.05%             | 2031-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ATLANTICUS HOLDINGS CORP                                                         | Atlanticus Holdings Corp                                                        | CUSIP: 04914AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    147000 | PA      | $132150.30    | 0.02%             | 2030-09-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560AT2<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26177.25     | 0.00%             | 2031-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560AY1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    105000 | PA      | $104326.19    | 0.02%             | 2052-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560BE4<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38180.76     | 0.01%             | 2056-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| AUTOMATIC DATA PROCESSNG                                                         | Automatic Data Processing Inc                                                   | CUSIP: 053015AJ2<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | DBT              | CORP              | US        |    680000 | PA      | $686974.60    | 0.10%             | 2032-05-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BC5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $180349.13    | 0.03%             | 2028-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BE1<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    920000 | PA      | $921515.19    | 0.14%             | 2026-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     65000 | PA      | $65999.86     | 0.01%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                              | Axon Enterprise Inc                                                             | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |    102000 | PA      | $103687.69    | 0.02%             | 2030-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    145000 | PA      | $159380.83    | 0.02%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    170000 | PA      | $187826.68    | 0.03%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    420000 | PA      | $381585.96    | 0.06%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     25000 | PA      | $28707.00     | 0.00%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    190000 | PA      | $198830.82    | 0.03%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1268335.43   | 0.19%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AZ1<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |   1575000 | PA      | $1589621.86   | 0.24%             | 2028-02-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451BA5<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    565000 | PA      | $565956.48    | 0.08%             | 2033-02-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                      | BBCMS Mortgage Trust 2023-C22                                                   | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $655154.70    | 0.10%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| BKV UPSTREAM MIDSTREAM L                                                         | BKV Upstream Midstream LLC                                                      | CUSIP: 05619CAA3<br>LEI: 254900LG75NBYHBBAU18 | Long             | DBT              | CORP              | US        |    220000 | PA      | $222233.00    | 0.03%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES LLC/CO-OBL                                                          | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc                         | CUSIP: 05724BAQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $494163.83    | 0.07%             | 2056-06-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BALDWIN INSUR GRP/FIN                                                            | Baldwin Insurance Group Holdings LLC / Baldwin Insurance Group Holdings Finance | CUSIP: 05825XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    166000 | PA      | $166841.53    | 0.02%             | 2031-05-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                                         | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    170000 | PA      | $106833.56    | 0.02%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $394896.32    | 0.06%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1800000 | PA      | $1843781.42   | 0.27%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     91000 | PA      | $70389.24     | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    830000 | PA      | $823065.68    | 0.12%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    225000 | PA      | $221570.16    | 0.03%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    775000 | PA      | $780005.17    | 0.12%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    735000 | PA      | $755060.62    | 0.11%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    325000 | PA      | $331759.57    | 0.05%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1397099.49   | 0.21%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    780000 | PA      | $793471.15    | 0.12%             | 2036-02-12      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368FAJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    435000 | PA      | $428679.42    | 0.06%             | 2027-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    215000 | PA      | $215208.06    | 0.03%             | 2027-09-10      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368LWU6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $20594.55     | 0.00%             | 2028-09-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                           | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBP1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    270000 | PA      | $266793.44    | 0.04%             | 2034-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                    | Banner Health                                                                   | CUSIP: 06654DAC1<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    119000 | PA      | $81340.68     | 0.01%             | 2050-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                                               | Bausch + Lomb Corp                                                              | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |    140000 | PA      | $144550.00    | 0.02%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    100000 | PA      | $104344.84    | 0.02%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024XW7<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    140000 | PA      | $92830.68     | 0.01%             | 2055-04-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT & WHITE HOL                                                         | Baylor Scott & White Holdings                                                   | CUSIP: 072863AJ2<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |     92000 | PA      | $57352.32     | 0.01%             | 2050-11-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                                                      | Bell Telephone Co of Canada or Bell Canada                                      | CUSIP: 0778FPAP4<br>LEI: 5493000G3EFX9S7TDE29 | Long             | DBT              | CORP              | CA        |     78000 | PA      | $78883.90     | 0.01%             | 2055-09-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                                                      | Bell Telephone Co of Canada or Bell Canada                                      | CUSIP: 0778FPAQ2<br>LEI: 5493000G3EFX9S7TDE29 | Long             | DBT              | CORP              | CA        |    108000 | PA      | $110540.05    | 0.02%             | 2055-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                                                            | Belron UK Finance PLC                                                           | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |    136000 | PA      | $136858.84    | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                    | CUSIP: 084659AR2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    200000 | PA      | $162242.26    | 0.02%             | 2049-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CQ2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    125000 | PA      | $101883.57    | 0.02%             | 2048-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     95000 | PA      | $59633.03     | 0.01%             | 2050-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    175000 | PA      | $132085.11    | 0.02%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH                                                         | Beth Israel Lahey Health Inc                                                    | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |    169000 | PA      | $109671.90    | 0.02%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: —       |
| BLACK HILLS CORP                                                                 | Black Hills Corp                                                                | CUSIP: 092113AX7<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155714.40    | 0.02%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR                                                           | Blackstone Mortgage Trust Inc                                                   | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              |  | US        |    169000 | PA      | $177567.96    | 0.03%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                                                          | Blue Bridge Funding 2023-1 LLC                                                  | CUSIP: 09531MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112189 | PA      | $112877.55    | 0.02%             | 2030-11-15      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                   | Bombardier Inc                                                                  | CUSIP: 097751AL5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    130000 | PA      | $140421.58    | 0.02%             | 2034-05-01      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                   | Bombardier Inc                                                                  | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    168000 | PA      | $176050.06    | 0.03%             | 2031-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| BOMBARDIER INC                                                                   | Bombardier Inc                                                                  | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    276000 | PA      | $285027.41    | 0.04%             | 2033-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                                                         | Brighthouse Financial Inc                                                       | CUSIP: 10922NAH6<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |    120000 | PA      | $66703.04     | 0.01%             | 2051-12-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BRISTOW GROUP INC                                                                | Bristow Group Inc                                                               | CUSIP: 11040GAB9<br>LEI: 5493005Q24EN3UC1PV68 | Long             | DBT              | CORP              | US        |    213000 | PA      | $215288.05    | 0.03%             | 2033-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                    | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79206.60     | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD CAPITAL FIN                                                           | Brookfield Capital Finance LLC                                                  | CUSIP: 11259NAA2<br>LEI: 254900P8CLQEIJ039941 | Long             | DBT              | CORP              | US        |    145000 | PA      | $151223.59    | 0.02%             | 2033-06-14      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | Brookfield Finance Inc                                                          | CUSIP: 11271LAM4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $504307.03    | 0.07%             | 2035-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | Brookfield Finance Inc                                                          | CUSIP: 11271LAQ5<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    275000 | PA      | $269258.61    | 0.04%             | 2036-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    258000 | PA      | $215014.35    | 0.03%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| BURFORD CAPITAL GLBL FIN                                                         | Burford Capital Global Finance LLC                                              | CUSIP: 12116LAE9<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |    137000 | PA      | $123642.50    | 0.02%             | 2031-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                         | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    383000 | PA      | $247057.64    | 0.04%             | 2051-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     48000 | PA      | $47340.13     | 0.01%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $49129.87     | 0.01%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31000 | PA      | $31095.14     | 0.00%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $361380.69    | 0.05%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $135371.83    | 0.02%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $169293.93    | 0.03%             | 2036-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| CBRE SERVICES INC                                                                | CBRE Services Inc                                                               | CUSIP: 12505BAG5<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    500000 | PA      | $520503.55    | 0.08%             | 2034-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                         | Viridien                                                                        | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    150000 | PA      | $159636.00    | 0.02%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                               | CNA Financial Corp                                                              | CUSIP: 126117AZ3<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    400000 | PA      | $391417.07    | 0.06%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC Holdings LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    150000 | PA      | $130109.12    | 0.02%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC Holdings LLC                                                                | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    351000 | PA      | $286817.54    | 0.04%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                          | CRH America Finance Inc                                                         | CUSIP: 12636YAF9<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1261638.97   | 0.19%             | 2035-01-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                         | CSX Corp                                                                        | CUSIP: 126408HE6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    800000 | PA      | $792790.58    | 0.12%             | 2026-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: —       |
| CSX CORP                                                                         | CSX Corp                                                                        | CUSIP: 126408HY2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     55000 | PA      | $48604.06     | 0.01%             | 2055-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| CNX RESOURCES CORP                                                               | CNX Resources Corp                                                              | CUSIP: 12653CAK4<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |    112000 | PA      | $115081.12    | 0.02%             | 2031-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                               | CNX Resources Corp                                                              | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |    136000 | PA      | $140142.02    | 0.02%             | 2032-03-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                               | CNX Resources Corp                                                              | CUSIP: 12653CAM0<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53563.21     | 0.01%             | 2034-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CNX MIDSTREAM PART LP                                                            | CNX Midstream Partners LP                                                       | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    126000 | PA      | $119793.44    | 0.02%             | 2030-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR Energy Inc                                                                  | CUSIP: 12662PAH1<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90672.03     | 0.01%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR Energy Inc                                                                  | CUSIP: 12662PAJ7<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |    155000 | PA      | $155543.20    | 0.02%             | 2034-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS/CVR NITROGE                                                         | CVR Partners LP / CVR Nitrogen Finance Corp                                     | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    193000 | PA      | $192293.25    | 0.03%             | 2028-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    126000 | PA      | $127580.42    | 0.02%             | 2054-12-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    128000 | PA      | $131915.26    | 0.02%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400320.78    | 0.06%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    700000 | PA      | $702721.93    | 0.10%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3333 | PA      | $3468.43      | 0.00%             | 2034-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    660000 | PA      | $657530.99    | 0.10%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    260000 | PA      | $266086.46    | 0.04%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    205000 | PA      | $205653.66    | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                           | CACI International Inc                                                          | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |    293000 | PA      | $298252.32    | 0.04%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                                         | California Resources Corp                                                       | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |    158000 | PA      | $165304.02    | 0.02%             | 2029-06-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                                         | California Resources Corp                                                       | CUSIP: 13057QAL1<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |    160000 | PA      | $161305.90    | 0.02%             | 2034-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                   | CUSIP: 13063BJC7<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |    150000 | PA      | $179925.51    | 0.03%             | 2040-11-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: —       |
| State of California                                                              | CALIFORNIA ST                                                                   | CUSIP: 13063DGC6<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |    200000 | PA      | $198508.36    | 0.03%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| California State University                                                      | CALIFORNIA ST UNIV REVENUE                                                      | CUSIP: 13077DKU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    145000 | PA      | $94903.49     | 0.01%             | 2051-11-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PROD                                                           | Calumet Specialty Products Partners LP / Calumet Finance Corp                   | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    181000 | PA      | $186880.69    | 0.03%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PROD                                                           | Calumet Specialty Products Partners LP / Calumet Finance Corp                   | CUSIP: 131477BA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $148729.83    | 0.02%             | 2031-02-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                           | Canadian Imperial Bank of Commerce                                              | CUSIP: 13608JAA5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $306542.48    | 0.05%             | 2029-04-08      | Fixed         | 5.26%                 | No            |                  2 | On Loan: —       |
| CANADIAN NATL RESOURCES                                                          | Canadian Natural Resources Ltd                                                  | CUSIP: 136385AY7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $87201.90     | 0.01%             | 2047-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    105000 | PA      | $104797.33    | 0.02%             | 2033-05-10      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     93000 | PA      | $96163.32     | 0.01%             | 2029-06-08      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HDG7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    960000 | PA      | $979886.20    | 0.15%             | 2030-07-26      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                             | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    158000 | PA      | $161353.65    | 0.02%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                             | CUSIP: 14149YBS6<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    750000 | PA      | $756900.47    | 0.11%             | 2034-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                 | Carlisle Cos Inc                                                                | CUSIP: 142339AM2<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99113.01     | 0.01%             | 2040-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | Carvana Co                                                                      | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     54000 | PA      | $58390.42     | 0.01%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | Carvana Co                                                                      | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    125690 | PA      | $130749.40    | 0.02%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102065 | PA      | $100374.84    | 0.01%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286787 | PA      | $281619.92    | 0.04%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAY4<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     55000 | PA      | $39369.83     | 0.01%             | 2052-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65787.90     | 0.01%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBD9<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30661.77     | 0.00%             | 2028-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBH0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    125000 | PA      | $123663.69    | 0.02%             | 2035-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                                           | CenterPoint Energy Resources Corp                                               | CUSIP: 15189YAG1<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |     85000 | PA      | $86478.70     | 0.01%             | 2028-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| CENTURY ALUMINUM COMPANY                                                         | Century Aluminum Co                                                             | CUSIP: 156431AS7<br>LEI: 549300U5ODNGEYWKSW73 | Long             | DBT              | CORP              | US        |    141000 | PA      | $145438.12    | 0.02%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| CENTURY COMMUNITIES                                                              | Century Communities Inc                                                         | CUSIP: 156504AN2<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4898.23      | 0.00%             | 2033-09-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| CHAMPION IRON CANADA INC                                                         | Champion Iron Canada Inc                                                        | CUSIP: 15853BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    100000 | PA      | $103865.88    | 0.02%             | 2032-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $226210.35    | 0.03%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                                    | Chase Funding Trust Series 2004-2                                               | CUSIP: 161546JS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46467 | PA      | $44901.31     | 0.01%             | 2035-02-26      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                      | Chemours Co/The                                                                 | CUSIP: 163851AJ7<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    247000 | PA      | $248348.87    | 0.04%             | 2033-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                      | Chemours Co/The                                                                 | CUSIP: 163851AL2<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    263000 | PA      | $262923.55    | 0.04%             | 2034-03-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                              | Cheniere Energy Inc                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    600000 | PA      | $617716.04    | 0.09%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                              | Cheniere Energy Inc                                                             | CUSIP: 16411RAQ2<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49822.77     | 0.01%             | 2056-07-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                            | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    160000 | PA      | $160826.00    | 0.02%             | 2027-06-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                              | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    297000 | PA      | $301648.24    | 0.04%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                                  | Chevron USA Inc                                                                 | CUSIP: 166756BF2<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   2160000 | PA      | $2187644.54   | 0.33%             | 2035-04-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                     | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $40415.77     | 0.01%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: —       |
| Chicago O'Hare International Airport                                             | CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE                                    | CUSIP: 167593H62<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     65000 | PA      | $56509.44     | 0.01%             | 2049-01-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                                             | Chile Government International Bonds                                            | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    650000 | PA      | $401700.00    | 0.06%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                                | Cisco Systems Inc                                                               | CUSIP: 17275RBY7<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1020520.30   | 0.15%             | 2032-02-24      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2285000 | PA      | $2094614.14   | 0.31%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    283000 | PA      | $288922.81    | 0.04%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    270000 | PA      | $270446.66    | 0.04%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2013-A                                            | CUSIP: 17320XAA2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      3422 | PA      | $3158.17      | 0.00%             | 2042-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                                         | Clear Channel Outdoor Holdings Inc                                              | CUSIP: 18453HAC0<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    136000 | PA      | $136645.32    | 0.02%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                                         | Clear Channel Outdoor Holdings Inc                                              | CUSIP: 18453HAD8<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     82000 | PA      | $82346.04     | 0.01%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                                         | Clear Channel Outdoor Holdings Inc                                              | CUSIP: 18453HAF3<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     61000 | PA      | $63836.68     | 0.01%             | 2030-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                                         | Clear Channel Outdoor Holdings Inc                                              | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     71000 | PA      | $74386.36     | 0.01%             | 2031-02-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                                         | Clear Channel Outdoor Holdings Inc                                              | CUSIP: 18453HAH9<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     63000 | PA      | $66716.87     | 0.01%             | 2033-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                             | Cleveland-Cliffs Inc                                                            | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    109000 | PA      | $106489.47    | 0.02%             | 2034-01-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                                           | Cloud Software Group Inc                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    116000 | PA      | $111902.14    | 0.02%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                                           | Cloud Software Group Inc                                                        | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94843.49     | 0.01%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DL1<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     90000 | PA      | $58832.07     | 0.01%             | 2051-03-05      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DS6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    610000 | PA      | $584653.88    | 0.09%             | 2054-05-13      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DT4<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    400000 | PA      | $380469.13    | 0.06%             | 2064-05-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                             | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |    312000 | PA      | $292044.01    | 0.04%             | 2028-10-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                             | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     81000 | PA      | $68457.29     | 0.01%             | 2031-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: —       |
| COLGATE-PALMOLIVE CO                                                             | Colgate-Palmolive Co                                                            | CUSIP: 194162AP8<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |     90000 | PA      | $84475.91     | 0.01%             | 2032-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COLGATE-PALMOLIVE CO                                                             | Colgate-Palmolive Co                                                            | CUSIP: 19416QEK2<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23207.30     | 0.00%             | 2047-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                     | Comcast Corp                                                                    | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197138.74    | 0.03%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                             | Commercial Metals Co                                                            | CUSIP: 201723AS2<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64316.62     | 0.01%             | 2033-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                             | Commercial Metals Co                                                            | CUSIP: 201723AV5<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |    188000 | PA      | $185338.95    | 0.03%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    339000 | PA      | $248560.82    | 0.04%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JP6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     90000 | PA      | $68763.14     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JR2<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    190000 | PA      | $174568.01    | 0.03%             | 2030-03-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JT8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     70000 | PA      | $45292.55     | 0.01%             | 2051-03-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| COMPOSECURE HOLDINGS LLC                                                         | CompoSecure Holdings LLC                                                        | CUSIP: 20459XAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $53732.25     | 0.01%             | 2033-02-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                                                         | Connect Finco SARL / Connect US Finco LLC                                       | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    352000 | PA      | $369790.08    | 0.05%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753TAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   2752701 | PA      | $2775755.35   | 0.41%             | 2039-06-25      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753VBE7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3578750.00   | 0.53%             | 2040-02-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAF1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   2860000 | PA      | $2981219.67   | 0.44%             | 2042-03-25      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753YAF9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $3529032.38   | 0.52%             | 2042-03-25      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753YCK6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3547993.05   | 0.53%             | 2042-03-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754AAF0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   4625000 | PA      | $4674543.00   | 0.69%             | 2041-12-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAB7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   3416682 | PA      | $3452454.17   | 0.51%             | 2042-01-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAF8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   4076000 | PA      | $4181112.70   | 0.62%             | 2042-01-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754DAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1323000 | PA      | $1341809.09   | 0.20%             | 2042-04-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754DAF4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1549038.60   | 0.23%             | 2042-04-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754GAF7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   2250000 | PA      | $2276639.55   | 0.34%             | 2044-02-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAF8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $1926886.90   | 0.29%             | 2041-11-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754LAF6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   4042000 | PA      | $4078486.73   | 0.61%             | 2041-12-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAF3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   3250000 | PA      | $3280758.65   | 0.49%             | 2041-10-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754WAC9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1012562.90   | 0.15%             | 2040-01-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754XAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1617394 | PA      | $1619792.03   | 0.24%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT LIGHT & PWR                                                          | Connecticut Light and Power Co/The                                              | CUSIP: 207597ET8<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81341.03     | 0.01%             | 2030-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                           | ConocoPhillips Co                                                               | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     85000 | PA      | $62096.40     | 0.01%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111EL3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    500000 | PA      | $527538.56    | 0.08%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GK3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127363.48    | 0.02%             | 2054-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                                         | Constellation Energy Generation LLC                                             | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    175000 | PA      | $183284.00    | 0.03%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DN3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     72000 | PA      | $43057.08     | 0.01%             | 2052-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DQ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     60000 | PA      | $47413.55     | 0.01%             | 2052-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DU7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108934.45    | 0.02%             | 2033-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DW3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50347.37     | 0.01%             | 2029-05-30      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                            | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99322.28     | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COOPER-STANDARD AUTOMOTI                                                         | Cooper-Standard Automotive Inc                                                  | CUSIP: 216762AK0<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |    369000 | PA      | $346767.75    | 0.05%             | 2031-03-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                    | CoreWeave Inc                                                                   | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    349000 | PA      | $339109.13    | 0.05%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| COREWEAVE INC                                                                    | CoreWeave Inc                                                                   | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    216000 | PA      | $205528.08    | 0.03%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    875000 | PA      | $845163.52    | 0.13%             | 2056-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3175000 | PA      | $3144209.93   | 0.47%             | 2056-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2200000 | PA      | $2214011.23   | 0.33%             | 2056-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2025000 | PA      | $2059032.56   | 0.31%             | 2056-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                            | Costco Wholesale Corp                                                           | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    160000 | PA      | $138285.50    | 0.02%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                          | CUSIP: 225310AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    137000 | PA      | $141957.21    | 0.02%             | 2028-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                          | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     41000 | PA      | $40042.65     | 0.01%             | 2030-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    240000 | PA      | $220098.25    | 0.03%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 2254W0HE8<br>LEI: 549300ECVPNB3VQOQ826 | Long             | ABS-MBS          | CORP              | US        |      4478 | PA      | $2475.10      | 0.00%             | 2019-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                                                           | Cushman & Wakefield US Borrower LLC                                             | CUSIP: 23166MAC7<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |     90000 | PA      | $95334.76     | 0.01%             | 2031-09-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| CYPRIUM CORP/CYPRIUM HOL                                                         | Cyprium Corp / Cyprium Holdings Luxembourg Sarl                                 | CUSIP: 23292NAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     55000 | PA      | $54219.96     | 0.01%             | 2031-04-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CYPRIUM CORP/CYPRIUM HOL                                                         | Cyprium Corp / Cyprium Holdings Luxembourg Sarl                                 | CUSIP: 23292NAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     65000 | PA      | $63091.73     | 0.01%             | 2034-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                                          | DCP Midstream Operating LP                                                      | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     17000 | PA      | $15452.38     | 0.00%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                                  | DTE Electric Co                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    217000 | PA      | $157040.27    | 0.02%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Dallas Fort Worth International Airport                                          | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE                                 | CUSIP: 2350368N3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    100000 | PA      | $71615.40     | 0.01%             | 2046-11-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Dallas Area Rapid Transit                                                        | DALLAS TX AREA RAPID TRANSIT SALES TAX REVENUE                                  | CUSIP: 235241WM4<br>LEI: 75YWM81F2R6UQGJIEW47 | Long             | DBT              | MUN               | US        |    100000 | PA      | $67646.70     | 0.01%             | 2048-12-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| DANAOS CORP                                                                      | Danaos Corp                                                                     | CUSIP: 23585WAC8<br>LEI: 734IM3DNDNT36T7YTD24 | Long             | DBT              | CORP              | MH        |    275000 | PA      | $279429.70    | 0.04%             | 2032-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AN5<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |    240000 | PA      | $256804.71    | 0.04%             | 2033-10-10      | Fixed         | 6.30%                 | No            |                  2 | On Loan: —       |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AP0<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |    355000 | PA      | $354175.55    | 0.05%             | 2027-10-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AQ8<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |    355000 | PA      | $354365.57    | 0.05%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DaVita Inc                                                                      | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    123000 | PA      | $126004.49    | 0.02%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                      | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    370000 | PA      | $382864.47    | 0.06%             | 2029-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                      | CUSIP: 24665FAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $60496.02     | 0.01%             | 2033-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DELUXE CORP                                                                      | Deluxe Corp                                                                     | CUSIP: 248019AW1<br>LEI: KWGNKB8TX9LE5TV29231 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62285.04     | 0.01%             | 2029-09-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                               | CUSIP: 25179MBG7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200501.08    | 0.03%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                               | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    300000 | PA      | $281930.94    | 0.04%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                              | CUSIP: 25243YBE8<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    380000 | PA      | $327803.36    | 0.05%             | 2032-04-29      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                              | CUSIP: 25243YBH1<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    725000 | PA      | $748576.04    | 0.11%             | 2033-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMOND FRGN/DIAMOND FIN                                                         | Diamond Foreign Asset Co / Diamond Finance LLC                                  | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     88000 | PA      | $92966.90     | 0.01%             | 2030-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    125000 | PA      | $133372.45    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                          | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    170000 | PA      | $160860.56    | 0.02%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                                            | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AH5<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77841.78     | 0.01%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DIEBOLD NIXDORF INC                                                              | Diebold Nixdorf Inc                                                             | CUSIP: 253651AK9<br>LEI: 549300XZK6EWDBAZSY16 | Long             | DBT              | CORP              | US        |     79000 | PA      | $82147.20     | 0.01%             | 2030-03-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     57000 | PA      | $56939.93     | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     92000 | PA      | $93916.29     | 0.01%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    710000 | PA      | $814262.21    | 0.12%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                                         | Discovery Communications LLC                                                    | CUSIP: 25470DBY4<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $72298.00     | 0.01%             | 2037-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS Corp                                                                   | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    156000 | PA      | $151375.61    | 0.02%             | 2028-07-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    151000 | PA      | $146046.07    | 0.02%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                            | Directv Financing LLC                                                           | CUSIP: 254945AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     39000 | PA      | $38913.24     | 0.01%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE T                                                         | Diversified Healthcare Trust                                                    | CUSIP: 25525PAB3<br>LEI: N/A                  | Long             | DBT              |  | US        |    179000 | PA      | $159077.21    | 0.02%             | 2031-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| DIVERSIFIED HEALTHCARE T                                                         | Diversified Healthcare Trust                                                    | CUSIP: 25525PAE7<br>LEI: N/A                  | Long             | DBT              |  | US        |     25000 | PA      | $25214.83     | 0.00%             | 2030-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     58000 | PA      | $55377.79     | 0.01%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| DOMINION ENERGY INC                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143234.67    | 0.02%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2024-2                                             | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    790000 | PA      | $793585.57    | 0.12%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297897.60    | 0.04%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    530000 | PA      | $403685.57    | 0.06%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51340.88     | 0.01%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    180000 | PA      | $182206.12    | 0.03%             | 2029-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93691.71     | 0.01%             | 2053-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                             | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79879.95     | 0.01%             | 2049-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                        | CUSIP: 26442UAS3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50958.48     | 0.01%             | 2034-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                          | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAD8<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18569.15     | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                          | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAE6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61445.57     | 0.01%             | 2034-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY FLORIDA LLC                                                          | Duke Energy Florida LLC                                                         | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     85000 | PA      | $90243.69     | 0.01%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                                | EOG Resources Inc                                                               | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121738.09    | 0.02%             | 2054-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| ERP OPERATING LP                                                                 | ERP Operating LP                                                                | CUSIP: 26884ABP7<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              |  | US        |    330000 | PA      | $321619.78    | 0.05%             | 2034-09-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS                                                                  | Eagle Materials Inc                                                             | CUSIP: 26969PAB4<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |    555000 | PA      | $495682.40    | 0.07%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                                          | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | US        |         1 | NC      | $144.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |         1 | NC      | $1111.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $2697.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                              | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |         1 | NC      | $812.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                                          | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | US        |         1 | NC      | $650.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $2072.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $656.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD MXN                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $2720.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                                 | PURCHASED USD / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | N/A              | DFE              |  | US        |         1 | NC      | $4602.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EATON CORP                                                                       | Eaton Corp                                                                      | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78785.65     | 0.01%             | 2052-08-23      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                    | EchoStar Corp                                                                   | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    360000 | PA      | $363512.88    | 0.05%             | 2030-11-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                    | EchoStar Corp                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    325000 | PA      | $351081.50    | 0.05%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | Edison International                                                            | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     87000 | PA      | $88575.40     | 0.01%             | 2053-06-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: —       |
| EDISON INTERNATIONAL                                                             | Edison International                                                            | CUSIP: 281020AZ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     86000 | PA      | $88097.80     | 0.01%             | 2054-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ELDORADO GOLD CORP                                                               | Eldorado Gold Corp                                                              | CUSIP: 284902AF0<br>LEI: 5493004PWQ01YDD1IH62 | Long             | DBT              | CORP              | CA        |    138000 | PA      | $137500.44    | 0.02%             | 2029-09-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                         | Electricite de France SA                                                        | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     94000 | PA      | $108853.03    | 0.02%             | 2033-03-15      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                                              | Electronic Arts Inc                                                             | CUSIP: 285512AF6<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |    150000 | PA      | $120574.09    | 0.02%             | 2051-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    550000 | PA      | $560540.59    | 0.08%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBC3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     78000 | PA      | $79222.10     | 0.01%             | 2054-10-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBD1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    190000 | PA      | $194241.21    | 0.03%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBG4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     73000 | PA      | $72122.46     | 0.01%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBH2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     72000 | PA      | $71607.35     | 0.01%             | 2056-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ENPRO INC                                                                        | Enpro Inc                                                                       | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50573.30     | 0.01%             | 2033-06-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ENOVA INTERNATIONAL INC                                                          | Enova International Inc                                                         | CUSIP: 29357KAH6<br>LEI: 549300O8XOCQSB49UO63 | Long             | DBT              | CORP              | US        |    132000 | PA      | $139632.50    | 0.02%             | 2028-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| ENOVA INTERNATIONAL INC                                                          | Enova International Inc                                                         | CUSIP: 29357KAK9<br>LEI: 549300O8XOCQSB49UO63 | Long             | DBT              | CORP              | US        |    196000 | PA      | $200524.46    | 0.03%             | 2029-08-01      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                            | Entergy Louisiana LLC                                                           | CUSIP: 29364WBS6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    295000 | PA      | $283394.69    | 0.04%             | 2056-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                                                | Entergy Texas Inc                                                               | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    220000 | PA      | $153882.27    | 0.02%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                                             | Entergy Arkansas LLC                                                            | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29300.52     | 0.00%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                         | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    180000 | PA      | $180697.91    | 0.03%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                         | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39231.13     | 0.01%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                      | Equinor ASA                                                                     | CUSIP: 29446MAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    500000 | PA      | $343856.23    | 0.05%             | 2049-11-18      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ESAB CORP                                                                        | Esab Corp                                                                       | CUSIP: 29605JAB2<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50350.50     | 0.01%             | 2031-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                         | CUSIP: 29670GAD4<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |    180000 | PA      | $167066.97    | 0.02%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                         | CUSIP: 29670GAH5<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76035.72     | 0.01%             | 2034-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SK INVICTUS INTERMEDIATE                                                         | SK Invictus Intermediate II Sarl                                                | CUSIP: 29977LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    234000 | PA      | $228236.37    | 0.03%             | 2029-10-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EVEREST REINSURANCE HLDG                                                         | Everest Reinsurance Holdings Inc                                                | CUSIP: 299808AH8<br>LEI: 254900P29PM5UJR3VU91 | Long             | DBT              | CORP              | US        |    800000 | PA      | $530730.06    | 0.08%             | 2050-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                                                       | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47387.59     | 0.01%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                            | Evergy Kansas Central Inc                                                       | CUSIP: 30036FAA9<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    130000 | PA      | $90625.61     | 0.01%             | 2050-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                                                     | Evergy Metro Inc                                                                | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35959.07     | 0.01%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | Eversource Energy                                                               | CUSIP: 30040WAE8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195859.60    | 0.03%             | 2028-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                     | CUSIP: 30161NBL4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65930.82     | 0.01%             | 2053-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                     | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45865.48     | 0.01%             | 2029-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                                                         | Export-Import Bank of Korea                                                     | CUSIP: 302154DZ9<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |    220000 | PA      | $229295.00    | 0.03%             | 2033-09-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                                                                       | EZCORP Inc                                                                      | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |     55000 | PA      | $57453.77     | 0.01%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                          | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3561.39      | 0.00%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FORTESCUE TREASURY PTY L                                                         | Fortescue Treasury Pty Ltd                                                      | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |    223000 | PA      | $227867.56    | 0.03%             | 2032-04-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                              | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    170000 | PA      | $158612.32    | 0.02%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                              | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183185.00    | 0.03%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    325000 | PA      | $304651.87    | 0.05%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                    | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1548142.56   | 0.23%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                    | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |    483000 | PA      | $436168.67    | 0.06%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| FAIR ISAAC CORP                                                                  | Fair Isaac Corp                                                                 | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    102000 | PA      | $100084.58    | 0.01%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                                                  | Fair Isaac Corp                                                                 | CUSIP: 303250AJ3<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    348000 | PA      | $342269.34    | 0.05%             | 2034-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    360000 | PA      | $335196.00    | 0.05%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BR2<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    330000 | PA      | $332517.92    | 0.05%             | 2054-03-22      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BU5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    254000 | PA      | $248263.53    | 0.04%             | 2055-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1259676 | PA      | $1281510.43   | 0.19%             | 2030-07-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51937 | PA      | $53752.32     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22359 | PA      | $23918.79     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49251 | PA      | $52477.37     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288BLZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2282 | PA      | $2358.49      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288DKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1665 | PA      | $1699.63      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288JBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54979 | PA      | $55316.75     | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUUA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47188 | PA      | $46152.50     | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18371 | PA      | $17747.54     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUWF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32301 | PA      | $31228.93     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128E6AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19045 | PA      | $18730.16     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128E6JK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7678 | PA      | $7552.02      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JPLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25795 | PA      | $26499.09     | 0.00%             | 2038-04-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JQAP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13895 | PA      | $14325.63     | 0.00%             | 2040-02-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JRH82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3413 | PA      | $3384.10      | 0.00%             | 2027-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128K8FX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7165 | PA      | $7236.48      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128KRWU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18331 | PA      | $18681.13     | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128L5LD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7408 | PA      | $7665.98      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128LLDM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $27.71        | 0.00%             | 2042-01-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXUP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58140 | PA      | $61053.71     | 0.01%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14547 | PA      | $15030.16     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5NN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7701 | PA      | $7969.89      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5QD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12808 | PA      | $13254.94     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6AP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10386 | PA      | $10686.61     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6AR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14699 | PA      | $15187.50     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30758 | PA      | $31659.79     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6UT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32402 | PA      | $33477.09     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       736 | PA      | $729.24       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7MH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16115 | PA      | $16649.17     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7S64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3616 | PA      | $3583.51      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34812 | PA      | $35969.36     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9KW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108267 | PA      | $107281.87    | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9R79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46639 | PA      | $44096.49     | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9SS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141919 | PA      | $133873.48    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51228 | PA      | $49536.60     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAET2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29386 | PA      | $28388.81     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21179 | PA      | $20246.03     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83482 | PA      | $77263.85     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41167 | PA      | $38337.37     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14909 | PA      | $15000.90     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144036 | PA      | $141847.75    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2714 | PA      | $2689.15      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14591 | PA      | $15332.99     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4025 | PA      | $4228.36      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40094 | PA      | $40570.65     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21918 | PA      | $21718.59     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48346 | PA      | $48921.04     | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJQH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156719 | PA      | $151550.95    | 0.02%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164738 | PA      | $154899.22    | 0.02%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430803 | PA      | $415068.59    | 0.06%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1158654 | PA      | $1049304.43   | 0.16%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99834 | PA      | $96002.60     | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    595583 | PA      | $572477.13    | 0.09%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89378 | PA      | $80748.80     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1448504 | PA      | $1306628.52   | 0.19%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175871 | PA      | $158598.74    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97494 | PA      | $91216.06     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3225 | PA      | $3235.52      | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7QT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5942 | PA      | $5960.21      | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7SJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270270 | PA      | $262190.45    | 0.04%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146893 | PA      | $141282.63    | 0.02%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8GW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31500 | PA      | $30345.97     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PYAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40897 | PA      | $40589.90     | 0.01%             | 2027-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128Q0DK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1593 | PA      | $1582.00      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128UGY27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3159 | PA      | $3279.03      | 0.00%             | 2041-07-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1028 | PA      | $1063.96      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292HK94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       288 | PA      | $298.78       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292KZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37719 | PA      | $38167.90     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47677 | PA      | $44984.36     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3129332E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20588 | PA      | $20401.09     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312938Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24258 | PA      | $24037.20     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312939CK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5723 | PA      | $5656.76      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3766 | PA      | $3731.60      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31293EAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       256 | PA      | $261.59       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312940EP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6042 | PA      | $5987.41      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312940RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1263 | PA      | $1251.55      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31295NJW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2338 | PA      | $2381.78      | 0.00%             | 2032-04-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296J3K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34658 | PA      | $34871.03     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296MF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9109 | PA      | $9216.88      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296UFG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4050 | PA      | $4075.29      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296XKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3146 | PA      | $3142.40      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296XUG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       946 | PA      | $951.37       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297F3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4793 | PA      | $4901.10      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297FFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30668 | PA      | $31305.68     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297M4D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43580 | PA      | $43848.20     | 0.01%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297P2C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29975 | PA      | $30281.49     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31298D3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       230 | PA      | $233.49       | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300LQK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8946 | PA      | $9285.37      | 0.00%             | 2041-08-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31323AB35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85773 | PA      | $79205.64     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31326FRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9309 | PA      | $9668.30      | 0.00%             | 2043-05-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31326FW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2425 | PA      | $2496.81      | 0.00%             | 2043-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254709 | PA      | $229542.00    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122612 | PA      | $1011401.20   | 0.15%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274279 | PA      | $245912.66    | 0.04%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69737 | PA      | $68476.29     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320648 | PA      | $315250.53    | 0.05%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132CWM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    780191 | PA      | $751089.77    | 0.11%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    578790 | PA      | $557244.08    | 0.08%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340653 | PA      | $314261.44    | 0.05%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257990 | PA      | $232797.09    | 0.03%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427514 | PA      | $384440.41    | 0.06%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    666323 | PA      | $599188.72    | 0.09%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1331117 | PA      | $1224635.74   | 0.18%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134426 | PA      | $127085.84    | 0.02%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    869063 | PA      | $825868.71    | 0.12%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    639674 | PA      | $592987.27    | 0.09%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DSEB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168242 | PA      | $174024.33    | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DSV74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89378 | PA      | $93315.96     | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DTAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213206 | PA      | $218647.68    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DTFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392450 | PA      | $414325.90    | 0.06%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67015 | PA      | $59094.30     | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550989 | PA      | $473719.75    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187474 | PA      | $161423.67    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    783870 | PA      | $607164.09    | 0.09%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132E07G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180902 | PA      | $187237.88    | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132E0H62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85998 | PA      | $86698.21     | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GF5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4779 | PA      | $4735.04      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1909 | PA      | $1891.30      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4923 | PA      | $4878.31      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GMAK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5383 | PA      | $5312.06      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GUJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9389 | PA      | $9062.22      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51984 | PA      | $50274.89     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HMVZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57295 | PA      | $54059.18     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    819057 | PA      | $772964.92    | 0.11%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNRA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29944 | PA      | $28940.91     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J2SY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7574 | PA      | $7312.85      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4B40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30261 | PA      | $29444.15     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132JAEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165236 | PA      | $155799.47    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132KESL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139680 | PA      | $137768.28    | 0.02%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L74A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22947 | PA      | $21455.03     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L7LF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10429 | PA      | $9805.15      | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8T31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107833 | PA      | $100599.97    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171342 | PA      | $160345.95    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L9V69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194773 | PA      | $181003.02    | 0.03%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393301 | PA      | $366999.60    | 0.05%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19202 | PA      | $18878.17     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8970 | PA      | $8824.52      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132M7JN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134958 | PA      | $130293.88    | 0.02%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QL4T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7092 | PA      | $6836.18      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWMN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7047 | PA      | $6616.55      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWP29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31798 | PA      | $30573.97     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WDDB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1537 | PA      | $1518.72      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WEWJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20811 | PA      | $18846.94     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33749 | PA      | $31668.67     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFEV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1286 | PA      | $1270.39      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFNV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8511 | PA      | $8004.83      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WH6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4675 | PA      | $4371.92      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKQ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10281 | PA      | $9257.08      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23391 | PA      | $23048.11     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNJK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5124 | PA      | $5046.75      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76545 | PA      | $73740.71     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136708 | PA      | $134644.86    | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XS6Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14056 | PA      | $14153.79     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XUJV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8316 | PA      | $7997.65      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XW5W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5633 | PA      | $5417.47      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XXHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90869 | PA      | $84699.13     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y1GK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14922 | PA      | $14650.91     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y1GL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11461 | PA      | $11307.71     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    825587 | PA      | $748760.22    | 0.11%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    851616 | PA      | $771883.20    | 0.11%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335ANR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16508 | PA      | $16306.25     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35533 | PA      | $33489.40     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68749 | PA      | $64546.78     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48571 | PA      | $47977.98     | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37152 | PA      | $33597.76     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119553 | PA      | $115285.67    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BLL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22007 | PA      | $20745.49     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6074 | PA      | $5729.87      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381394 | PA      | $355654.63    | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322076 | PA      | $302266.77    | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44303 | PA      | $43762.63     | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144679 | PA      | $130551.90    | 0.02%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57851 | PA      | $52267.33     | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51391 | PA      | $49513.77     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111070 | PA      | $104286.20    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1527 | PA      | $1464.24      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29915 | PA      | $28748.04     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71746 | PA      | $67001.52     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31336SBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       139 | PA      | $141.48       | 0.00%             | 2032-09-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133A9NL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322280 | PA      | $262679.00    | 0.04%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215109 | PA      | $174835.03    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133AXHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    648800 | PA      | $556607.60    | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KHUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5718908 | PA      | $4715717.44   | 0.70%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408191 | PA      | $346876.29    | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1080106 | PA      | $921076.32    | 0.14%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555557 | PA      | $468664.80    | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287621 | PA      | $243013.28    | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    881823 | PA      | $751997.96    | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256854 | PA      | $218708.14    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    755563 | PA      | $620672.14    | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    660782 | PA      | $559068.84    | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2041376 | PA      | $1670550.54   | 0.25%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1773170 | PA      | $1442942.92   | 0.21%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KNNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1381888 | PA      | $1223589.11   | 0.18%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KQKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366598 | PA      | $364405.15    | 0.05%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KQXU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318591 | PA      | $316047.29    | 0.05%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KR5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534103 | PA      | $557810.28    | 0.08%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KRFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196011 | PA      | $199813.46    | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88218 | PA      | $81218.02     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279221 | PA      | $257583.30    | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AUZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523240 | PA      | $519429.79    | 0.08%             | 2026-09-25      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AY7L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934691 | PA      | $920369.18    | 0.14%             | 2027-12-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1331877 | PA      | $1307704.34   | 0.19%             | 2028-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2949595 | PA      | $2905020.88   | 0.43%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371KHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2421 | PA      | $2541.85      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371KP88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4022 | PA      | $4223.19      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371LR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15016 | PA      | $15542.50     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32727 | PA      | $32136.11     | 0.00%             | 2034-09-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31376JSZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $345.02       | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1190000 | PA      | $1183523.78   | 0.18%             | 2026-10-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1500124 | PA      | $1492099.62   | 0.22%             | 2026-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1190000 | PA      | $1176970.81   | 0.17%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385H7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       328 | PA      | $339.11       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47466 | PA      | $49489.15     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57807 | PA      | $58842.93     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1794 | PA      | $1797.89      | 0.00%             | 2033-05-01      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52331 | PA      | $53310.21     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31387WTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       196 | PA      | $202.81       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389DHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2673 | PA      | $2763.60      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389MY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12611 | PA      | $12802.45     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389SVS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2827 | PA      | $2881.37      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389VBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       256 | PA      | $269.11       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26724 | PA      | $26509.09     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ABZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22331 | PA      | $22099.65     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8740 | PA      | $9087.95      | 0.00%             | 2041-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AQAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6301 | PA      | $6054.75      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ASL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9706 | PA      | $10136.97     | 0.00%             | 2041-09-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AVGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127622 | PA      | $123239.15    | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E0SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       526 | PA      | $522.88       | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E4YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       524 | PA      | $542.73       | 0.00%             | 2042-02-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E9N55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527963 | PA      | $509796.11    | 0.08%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57501 | PA      | $58113.27     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EGKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       191 | PA      | $190.86       | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EHS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3899 | PA      | $4036.83      | 0.00%             | 2042-01-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EJ6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55760 | PA      | $52637.77     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11270 | PA      | $11163.57     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71229 | PA      | $70404.69     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EL6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49660 | PA      | $47933.44     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ELBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59313 | PA      | $59944.26     | 0.01%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77102 | PA      | $76066.12     | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64065 | PA      | $61988.11     | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33308 | PA      | $32178.62     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101750 | PA      | $100382.60    | 0.01%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20112 | PA      | $20256.10     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233116 | PA      | $220116.16    | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172415 | PA      | $170039.08    | 0.03%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32082 | PA      | $28912.45     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162152 | PA      | $152702.31    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190325 | PA      | $171519.99    | 0.03%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25539 | PA      | $23988.64     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12854 | PA      | $11609.58     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50456 | PA      | $45666.44     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9163 | PA      | $8386.89      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LSZ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6109 | PA      | $5945.17      | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175404 | PA      | $165582.04    | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LVU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23238 | PA      | $22620.92     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LYAC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4572 | PA      | $4477.78      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M5GF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8265 | PA      | $8076.27      | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M7CK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5901 | PA      | $5746.54      | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M8EN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2328 | PA      | $2307.05      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2652 | PA      | $2630.89      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MAJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110488 | PA      | $104267.62    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MBWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19648 | PA      | $19481.16     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8429 | PA      | $7719.58      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MJF20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3390 | PA      | $3354.39      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MJWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5748 | PA      | $5602.30      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MKE85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4049 | PA      | $4005.31      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MLBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4793 | PA      | $4743.60      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MLUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5117 | PA      | $5063.48      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MPGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1707 | PA      | $1690.33      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W1VC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26696 | PA      | $25140.32     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W3F32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32566 | PA      | $28736.94     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W9RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3696 | PA      | $3635.44      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21033 | PA      | $19232.06     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8688 | PA      | $8158.08      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42786 | PA      | $41322.42     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WFHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233592 | PA      | $219342.93    | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13968 | PA      | $13098.05     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7216 | PA      | $7118.62      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24233 | PA      | $22685.82     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25752 | PA      | $25408.42     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146978 | PA      | $141130.18    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50636 | PA      | $48584.35     | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3986 | PA      | $3928.26      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21996 | PA      | $20592.17     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9920 | PA      | $9795.86      | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62175 | PA      | $55827.16     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10457 | PA      | $9522.17      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22788 | PA      | $20624.50     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156890 | PA      | $146509.34    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38207 | PA      | $34579.51     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96105 | PA      | $86264.92     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79817 | PA      | $74597.65     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118935 | PA      | $111780.86    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93680 | PA      | $87539.02     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11947 | PA      | $11456.62     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69468 | PA      | $68420.24     | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7042 | PA      | $6331.41      | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40028 | PA      | $36991.29     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66238 | PA      | $63589.22     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WLBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55790 | PA      | $52405.99     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7896 | PA      | $7229.85      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18619 | PA      | $19310.63     | 0.00%             | 2043-06-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WTWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8515 | PA      | $8748.67      | 0.00%             | 2043-05-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31203 | PA      | $27479.39     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42266 | PA      | $40854.11     | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138Y4PH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170386 | PA      | $163972.35    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YL2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45306 | PA      | $39642.21     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YPAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34810 | PA      | $31203.70     | 0.00%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390CVL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       746 | PA      | $766.73       | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1199 | PA      | $1286.43      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390QJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10333 | PA      | $10464.46     | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390UXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10370 | PA      | $10705.75     | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31391NES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1266 | PA      | $1290.70      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5409 | PA      | $5455.80      | 0.00%             | 2032-10-01      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31400HVV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2665 | PA      | $2689.57      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31400SHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19737 | PA      | $20119.48     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31401NJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24537 | PA      | $24584.56     | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24445 | PA      | $24625.89     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79207 | PA      | $81733.31     | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19095 | PA      | $19775.96     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5645 | PA      | $5835.98      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92167 | PA      | $92629.12     | 0.01%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24054 | PA      | $24926.30     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1350 | PA      | $1400.51      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403APE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13209 | PA      | $13275.10     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25505 | PA      | $26319.80     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14570 | PA      | $15035.52     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31404QAL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30799 | PA      | $31071.83     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31405RRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       937 | PA      | $955.63       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406BBF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31881 | PA      | $32228.42     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15752 | PA      | $16001.24     | 0.00%             | 2035-04-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406XLV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4419 | PA      | $4622.06      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407CBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18936 | PA      | $19090.78     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407FFW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17693 | PA      | $18257.27     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407FN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22085 | PA      | $22206.03     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407KQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10176 | PA      | $10437.06     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407SPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18172 | PA      | $18752.26     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407X4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31564 | PA      | $32359.29     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31930 | PA      | $32863.93     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15802 | PA      | $16168.15     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YR68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4538 | PA      | $4582.90      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408DQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13988 | PA      | $14005.58     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408GVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15607 | PA      | $15909.65     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408H5Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4496 | PA      | $4671.92      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409CE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4773 | PA      | $5007.38      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409GKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6075 | PA      | $6279.45      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409VDU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10496 | PA      | $10802.66     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140E0E76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6322 | PA      | $6242.51      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140E24G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7562 | PA      | $7280.54      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23885 | PA      | $22378.00     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUKZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1788 | PA      | $1764.87      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15620 | PA      | $14667.05     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EVPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15020 | PA      | $14666.68     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EVS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164580 | PA      | $154029.94    | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EW6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28539 | PA      | $27439.06     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39254 | PA      | $38726.42     | 0.01%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12555 | PA      | $11321.02     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37769 | PA      | $34057.32     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11990 | PA      | $11511.76     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89016 | PA      | $83255.25     | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FRMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108231 | PA      | $96884.40     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FS3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7056 | PA      | $6942.02      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15676 | PA      | $15187.02     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292259 | PA      | $276424.29    | 0.04%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262478 | PA      | $248286.90    | 0.04%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2670678 | PA      | $2443317.93   | 0.36%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45865 | PA      | $41495.34     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343639 | PA      | $330665.94    | 0.05%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7080 | PA      | $6973.92      | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6667 | PA      | $6387.39      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146111 | PA      | $140540.73    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209192 | PA      | $205841.71    | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39190 | PA      | $38562.38     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254511 | PA      | $250553.22    | 0.04%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192146 | PA      | $189158.00    | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43600 | PA      | $42890.91     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HJ2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45675 | PA      | $45583.57     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201026 | PA      | $197723.34    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24936 | PA      | $23398.21     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5MS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434201 | PA      | $416294.43    | 0.06%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88066 | PA      | $86755.60     | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J6E94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139186 | PA      | $130802.06    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12254 | PA      | $11772.41     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J75S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98957 | PA      | $95433.74     | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J7R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102406 | PA      | $96322.79     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46030 | PA      | $41576.62     | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83082 | PA      | $82222.82     | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172276 | PA      | $166278.47    | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55635 | PA      | $50935.73     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103400 | PA      | $93187.99     | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123165 | PA      | $115936.39    | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527476 | PA      | $544066.71    | 0.08%             | 2047-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8LM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190116 | PA      | $174118.29    | 0.03%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57804 | PA      | $54505.41     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28831 | PA      | $26382.68     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189371 | PA      | $188034.63    | 0.03%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59306 | PA      | $56995.59     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57023 | PA      | $55045.71     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69551 | PA      | $66958.40     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52264 | PA      | $47833.28     | 0.01%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55695 | PA      | $54722.33     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95569 | PA      | $92107.87     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405778 | PA      | $363828.91    | 0.05%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166266 | PA      | $160473.16    | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142705 | PA      | $137185.32    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JGLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73352 | PA      | $71966.74     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203728 | PA      | $190069.86    | 0.03%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JPN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35509 | PA      | $33241.96     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KQN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1373359 | PA      | $1121109.18   | 0.17%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216775 | PA      | $176132.31    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122152 | PA      | $112689.21    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140M7R60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2781578 | PA      | $2276170.72   | 0.34%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MESL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3734019 | PA      | $3825506.55   | 0.57%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787747 | PA      | $666880.79    | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85074 | PA      | $79197.96     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7LA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299423 | PA      | $286765.57    | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60494 | PA      | $56365.43     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70006 | PA      | $65170.57     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129646 | PA      | $127563.48    | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32402 | PA      | $31041.71     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70921 | PA      | $66728.88     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145181 | PA      | $142922.97    | 0.02%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65681 | PA      | $61923.18     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24549 | PA      | $23134.40     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78475 | PA      | $77189.52     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6109 | PA      | $6008.74      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104294 | PA      | $104806.32    | 0.02%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61584 | PA      | $60489.98     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39656 | PA      | $38027.15     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4545 | PA      | $4466.71      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371260 | PA      | $372929.14    | 0.06%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24140 | PA      | $23149.13     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56402 | PA      | $56678.50     | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13762 | PA      | $13210.13     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245347 | PA      | $220661.58    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54984 | PA      | $49206.81     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313363 | PA      | $278272.06    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304461 | PA      | $270746.83    | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599033 | PA      | $513443.62    | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    785774 | PA      | $642771.08    | 0.10%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410893 | PA      | $353262.89    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852895 | PA      | $727337.44    | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642427 | PA      | $547850.18    | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2144981 | PA      | $1739248.54   | 0.26%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161288 | PA      | $148794.75    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    911218 | PA      | $751367.88    | 0.11%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1608766 | PA      | $1321559.35   | 0.20%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290829 | PA      | $268295.68    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297847 | PA      | $253011.66    | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288160 | PA      | $265295.22    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277784 | PA      | $256258.76    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640252 | PA      | $521016.10    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397375 | PA      | $338990.66    | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165560 | PA      | $152732.79    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110197 | PA      | $101453.07    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73809 | PA      | $70240.18     | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QLPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1460079 | PA      | $1243282.96   | 0.18%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QMCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674090 | PA      | $575049.68    | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742751 | PA      | $632237.74    | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QREH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1164746 | PA      | $1157778.04   | 0.17%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRKD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428147 | PA      | $437485.52    | 0.07%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230518 | PA      | $228677.78    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391395 | PA      | $394838.82    | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QSL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463326 | PA      | $473234.57    | 0.07%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QTJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    819923 | PA      | $840998.40    | 0.13%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QTQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208368 | PA      | $220353.32    | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QUH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312890 | PA      | $328685.19    | 0.05%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QUHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381666 | PA      | $389824.27    | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140W1BL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152743 | PA      | $158734.32    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148262 | PA      | $131785.49    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14766 | PA      | $14499.62     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510178 | PA      | $462988.73    | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37556 | PA      | $36256.21     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       767 | PA      | $763.84       | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52437 | PA      | $51309.47     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58216 | PA      | $56061.33     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430892 | PA      | $370384.47    | 0.06%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2403729 | PA      | $2060715.00   | 0.31%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8H26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70445 | PA      | $67860.93     | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    607745 | PA      | $516523.21    | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8RR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557010 | PA      | $459294.34    | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056213 | PA      | $869323.91    | 0.13%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464417 | PA      | $382951.05    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156254 | PA      | $148197.80    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61661 | PA      | $56800.49     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115741 | PA      | $106775.94    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1902112 | PA      | $1535457.72   | 0.23%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XBAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1490725 | PA      | $1219413.94   | 0.18%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314142 | PA      | $299749.47    | 0.04%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    838474 | PA      | $649418.95    | 0.10%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1484524 | PA      | $1219229.71   | 0.18%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082587 | PA      | $885534.67    | 0.13%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XGK57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2614014 | PA      | $2215765.35   | 0.33%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646707 | PA      | $595346.52    | 0.09%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XJH48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63794 | PA      | $60423.71     | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XMXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349173 | PA      | $358008.14    | 0.05%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XPSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287470 | PA      | $297705.29    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30905 | PA      | $32418.78     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71121 | PA      | $64152.06     | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31411WXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4328 | PA      | $4296.59      | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412AQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1435 | PA      | $1505.47      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412PKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       400 | PA      | $399.79       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412Q2X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17237 | PA      | $17058.37     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412QSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93672 | PA      | $94668.69     | 0.01%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412RND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35294 | PA      | $33531.69     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412RNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7628 | PA      | $7217.48      | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413HHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2233 | PA      | $2276.18      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413UKP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8254 | PA      | $8658.00      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413YMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4195 | PA      | $4375.16      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31414BWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12004 | PA      | $12354.23     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31415RPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5679 | PA      | $5840.47      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31415VKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       230 | PA      | $237.97       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8945 | PA      | $9382.52      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33456 | PA      | $34507.84     | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16100 | PA      | $16378.92     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416CA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28993 | PA      | $29992.59     | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416CKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42243 | PA      | $43672.82     | 0.01%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416J7C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15988 | PA      | $15773.49     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416VS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15761 | PA      | $16532.17     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416W4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4128 | PA      | $3915.82      | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416W5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13389 | PA      | $12922.37     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416WUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4768 | PA      | $4818.60      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29523 | PA      | $28059.87     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143308 | PA      | $135877.91    | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155026 | PA      | $149726.30    | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416YLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43028 | PA      | $43486.25     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2353 | PA      | $2329.36      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4906 | PA      | $4864.65      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6074 | PA      | $5960.35      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417FBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49308 | PA      | $49914.74     | 0.01%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15211 | PA      | $14712.97     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57960 | PA      | $54582.59     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GNU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42475 | PA      | $41055.28     | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19334 | PA      | $18649.00     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39430 | PA      | $34689.35     | 0.01%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417Y7H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17029 | PA      | $16711.78     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31046 | PA      | $30791.25     | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418AJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50577 | PA      | $49528.03     | 0.01%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125077 | PA      | $120612.14    | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56320 | PA      | $50839.90     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27177 | PA      | $24499.15     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250132 | PA      | $225766.26    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15697 | PA      | $15072.36     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12191 | PA      | $11985.34     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38229 | PA      | $38027.50     | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16962 | PA      | $16870.24     | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9680 | PA      | $9626.88      | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25281 | PA      | $24285.44     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428004 | PA      | $362998.24    | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190212 | PA      | $171270.61    | 0.03%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1508678 | PA      | $1278601.40   | 0.19%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DA85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23185 | PA      | $23373.31     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5553 | PA      | $5441.09      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71342 | PA      | $67484.09     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79284 | PA      | $70454.90     | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15920 | PA      | $14132.27     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2358232 | PA      | $1827633.29   | 0.27%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1322294 | PA      | $1189068.89   | 0.18%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369539 | PA      | $332508.87    | 0.05%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653438 | PA      | $601166.59    | 0.09%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135167 | PA      | $127786.72    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    883122 | PA      | $856063.04    | 0.13%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418FRA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292240 | PA      | $298038.80    | 0.04%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418FS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432447 | PA      | $417544.56    | 0.06%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418MYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24665 | PA      | $25499.90     | 0.00%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418Q4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       943 | PA      | $971.41       | 0.00%             | 2040-04-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99809 | PA      | $100871.16    | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6419 | PA      | $6487.72      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418V5T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3585 | PA      | $3623.65      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1410 | PA      | $1425.34      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4932 | PA      | $4984.19      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419AVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81471 | PA      | $82972.92     | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25253 | PA      | $24991.56     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21685 | PA      | $21915.92     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427MGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78626 | PA      | $80548.68     | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427MTB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    651152 | PA      | $667090.15    | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427NMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310577 | PA      | $312881.93    | 0.05%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427PJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    486455 | PA      | $502292.63    | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427QCF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239436 | PA      | $252000.33    | 0.04%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427QJ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2922915 | PA      | $2977797.07   | 0.44%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427QL67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235424 | PA      | $242830.86    | 0.04%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427RG53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152917 | PA      | $159463.20    | 0.02%             | 2055-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GQSS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83652 | PA      | $87084.29     | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50616 | PA      | $52634.24     | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRLU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422559 | PA      | $442937.55    | 0.07%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185141 | PA      | $195068.83    | 0.03%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GSN79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    915586 | PA      | $939331.20    | 0.14%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GTED4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886638 | PA      | $931804.64    | 0.14%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GTGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    979635 | PA      | $997354.71    | 0.15%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GVCX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641547 | PA      | $654871.52    | 0.10%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GWJM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649154 | PA      | $630995.85    | 0.09%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GWUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1780000 | PA      | $1767147.60   | 0.26%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142J6BV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312041 | PA      | $322599.75    | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EF HOLD/EF KY/ELL KY/TRS                                                         | EF Holdco / EF Cayman Hold / Ellington Fin REIT Cayman/TRS / EF Cayman Non-MTM  | CUSIP: 31574BAA4<br>LEI: N/A                  | Long             | DBT              |  | XX        |    146000 | PA      | $140594.66    | 0.02%             | 2030-09-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                                                          | Fidelity National Financial Inc                                                 | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $940270.34    | 0.14%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                              | Fifth Third Bancorp                                                             | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    140000 | PA      | $145133.17    | 0.02%             | 2029-07-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                    | FirstCash Inc                                                                   | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |     87000 | PA      | $86517.01     | 0.01%             | 2030-01-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                                         | First Quantum Minerals Ltd                                                      | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $206634.00    | 0.03%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| FIRSTENERGY TRANSMISSION                                                         | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24617.39     | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                    | FirstCash Inc                                                                   | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    289000 | PA      | $294554.00    | 0.04%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| FIVE POINT OPERATING CO                                                          | Five Point Operating Co LP                                                      | CUSIP: 33834YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $144658.79    | 0.02%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FLASH COMPUTE LLC                                                                | Flash Compute LLC                                                               | CUSIP: 33853QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $85577.24     | 0.01%             | 2030-12-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081FL6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    300000 | PA      | $243766.14    | 0.04%             | 2044-10-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     40000 | PA      | $26774.09     | 0.00%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     90000 | PA      | $55967.52     | 0.01%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081GQ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55037.22     | 0.01%             | 2033-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081HB6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52984.08     | 0.01%             | 2066-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp                                       | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                        | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |    119000 | PA      | $109525.91    | 0.02%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                             | CUSIP: 34531XAB0<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |      5000 | PA      | $2947.15      | 0.00%             | 2050-06-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: —       |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                             | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |     30000 | PA      | $16724.58     | 0.00%             | 2070-06-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                        | CUSIP: 345397J38<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    495000 | PA      | $485767.89    | 0.07%             | 2033-04-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS                                                          | FTAI Aviation Investors LLC                                                     | CUSIP: 34960PAE1<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     93000 | PA      | $97110.14     | 0.01%             | 2030-12-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS                                                          | FTAI Aviation Investors LLC                                                     | CUSIP: 34960PAF8<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     90000 | PA      | $92261.70     | 0.01%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS                                                          | FTAI Aviation Investors LLC                                                     | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |    176000 | PA      | $180420.42    | 0.03%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FORTREA HOLDINGS INC                                                             | Fortrea Holdings Inc                                                            | CUSIP: 34965KAA5<br>LEI: 5493000FIVFABOVCDU97 | Long             | DBT              | CORP              | US        |    156000 | PA      | $147841.20    | 0.02%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| FOX CORP                                                                         | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    500000 | PA      | $483653.62    | 0.07%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| FRED HUTCH CNCR CTR                                                              | Fred Hutchinson Cancer Center                                                   | CUSIP: 35561RAA5<br>LEI: 549300ESFMVM81MJ8C69 | Long             | DBT              | CORP              | US        |    130000 | PA      | $117176.43    | 0.02%             | 2052-01-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA1                                         | CUSIP: 35564KBD0<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3693476.15   | 0.55%             | 2051-01-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA1                                         | CUSIP: 35564KCN7<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |   3750000 | PA      | $4088687.25   | 0.61%             | 2033-08-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA1                                         | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1172586.70   | 0.17%             | 2033-08-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35564KDX4<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $3439624.84   | 0.51%             | 2033-08-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA3                                         | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2570410.50   | 0.38%             | 2042-08-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KFG9<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2819559.50   | 0.42%             | 2033-10-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KFH7<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1257506.60   | 0.19%             | 2033-10-25      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA2                                         | CUSIP: 35564KGR4<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1115225.80   | 0.17%             | 2033-12-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJA8<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3195510.90   | 0.48%             | 2034-01-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2435109.60   | 0.36%             | 2034-01-25      | Floating      | 9.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA7                                         | CUSIP: 35564KL72<br>LEI: 5493000IRUQLXTG4SV18 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1616044.50   | 0.24%             | 2052-03-25      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLU1<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |   3520000 | PA      | $3557949.82   | 0.53%             | 2041-10-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |   2243393 | PA      | $2278457.23   | 0.34%             | 2041-11-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA4                                         | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1006880.00   | 0.15%             | 2041-12-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQY8<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |   3250000 | PA      | $3309185.43   | 0.49%             | 2042-01-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA1                                         | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | USGSE             | US        |   4150000 | PA      | $4293963.50   | 0.64%             | 2042-03-25      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA1                                         | CUSIP: 35564KUE7<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | USGSE             | US        |   1620000 | PA      | $1701608.15   | 0.25%             | 2042-03-25      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3131233.50   | 0.47%             | 2042-05-25      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-HQA5                                         | CUSIP: 35565TBD0<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2198569.00   | 0.33%             | 2050-11-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-DNA6                                         | CUSIP: 35566CBD6<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |    680000 | PA      | $720411.18    | 0.11%             | 2050-12-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                            | Freedom Mortgage Corp                                                           | CUSIP: 35640YAL1<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     81000 | PA      | $87396.73     | 0.01%             | 2030-10-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                                            | Freedom Mortgage Holdings LLC                                                   | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39347.77     | 0.01%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| GE CAPITAL INTL FUNDING                                                          | GE Capital International Funding Co Unlimited Co                                | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |    250000 | PA      | $239718.18    | 0.04%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| GCI LLC                                                                          | GCI LLC                                                                         | CUSIP: 36166TAB6<br>LEI: 549300N3IE9H88Q20221 | Long             | DBT              | CORP              | US        |    116000 | PA      | $112261.34    | 0.02%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36176HTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4221 | PA      | $3970.58      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36177QXM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10440 | PA      | $9810.34      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36177YC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3124 | PA      | $2944.08      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178DSS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40891 | PA      | $37761.00     | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36178DVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9013 | PA      | $8442.43      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76909 | PA      | $70900.71     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36178EDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34119 | PA      | $32059.08     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178WS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18393 | PA      | $16973.45     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178WS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12589 | PA      | $11607.75     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179CJA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213328 | PA      | $196999.53    | 0.03%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DJ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6699 | PA      | $6181.25      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21361 | PA      | $19699.15     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3480 | PA      | $3209.62      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10943 | PA      | $10371.55     | 0.00%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231939 | PA      | $219836.46    | 0.03%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9487 | PA      | $8992.03      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41027 | PA      | $37600.94     | 0.01%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34058 | PA      | $32120.23     | 0.00%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316040 | PA      | $286653.54    | 0.04%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415514 | PA      | $389402.16    | 0.06%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70328 | PA      | $67397.01     | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59391 | PA      | $53716.70     | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    434450 | PA      | $408949.64    | 0.06%             | 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        |    169338 | PA      | $159528.83    | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133901 | PA      | $121607.43    | 0.02%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130612 | PA      | $122978.44    | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78466 | PA      | $71206.91     | 0.01%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140051 | PA      | $134237.85    | 0.02%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3757 | PA      | $3616.82      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15056 | PA      | $13661.02     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23832 | PA      | $23552.70     | 0.00%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50012 | PA      | $47016.38     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18975 | PA      | $18177.62     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61933 | PA      | $58232.81     | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12759 | PA      | $12605.39     | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225838 | PA      | $204767.97    | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49192 | PA      | $44598.72     | 0.01%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68978 | PA      | $62534.92     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21185 | PA      | $20279.62     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240389 | PA      | $217923.18    | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4629 | PA      | $4576.08      | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105202 | PA      | $95364.69     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21709 | PA      | $20423.72     | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215697 | PA      | $189247.09    | 0.03%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60363 | PA      | $54627.52     | 0.01%             | 2046-12-20      | 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        |     18004 | PA      | $16261.80     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11432 | PA      | $11297.89     | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5006 | PA      | $4530.96      | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108517 | PA      | $106942.05    | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142649 | PA      | $140406.16    | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70449 | PA      | $63804.79     | 0.01%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51145 | PA      | $48236.14     | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192273 | PA      | $183826.76    | 0.03%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29049 | PA      | $28686.11     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28273 | PA      | $25561.89     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370966 | PA      | $354849.93    | 0.05%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30715 | PA      | $29362.10     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151807 | PA      | $143079.55    | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17490 | PA      | $16414.36     | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11464 | PA      | $11308.04     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27196 | PA      | $24580.31     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154712 | PA      | $145386.76    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150590 | PA      | $143838.49    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84770 | PA      | $79477.52     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21263 | PA      | $19928.73     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1020043 | PA      | $973933.34    | 0.14%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49576 | PA      | $44807.90     | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95928 | PA      | $89909.32     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233980 | PA      | $223361.15    | 0.03%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37199 | PA      | $37850.77     | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145625 | PA      | $138963.62    | 0.02%             | 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        |    171514 | PA      | $168980.91    | 0.03%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21285 | PA      | $21504.73     | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7536 | PA      | $7765.75      | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168710 | PA      | $161325.90    | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213605 | PA      | $210170.74    | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44807 | PA      | $41956.86     | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55689 | PA      | $54794.63     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424970 | PA      | $417886.77    | 0.06%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36983 | PA      | $37365.78     | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35750 | PA      | $36061.34     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61601 | PA      | $60241.58     | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83946 | PA      | $75276.59     | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491974 | PA      | $440996.79    | 0.07%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232998 | PA      | $208863.35    | 0.03%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415194 | PA      | $357698.69    | 0.05%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VZS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284263 | PA      | $254623.19    | 0.04%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373818 | PA      | $321817.38    | 0.05%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1185682 | PA      | $1059305.92   | 0.16%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    700410 | PA      | $602946.86    | 0.09%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    844143 | PA      | $726679.03    | 0.11%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685262 | PA      | $589937.58    | 0.09%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5256546 | PA      | $4344909.34   | 0.65%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220774 | PA      | $204427.59    | 0.03%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211615 | PA      | $189314.75    | 0.03%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506033 | PA      | $511840.34    | 0.08%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305947 | PA      | $318496.59    | 0.05%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56958 | PA      | $53638.78     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617HP7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73984 | PA      | $68936.53     | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16890 | PA      | $16204.67     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617NWHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    829453 | PA      | $701761.79    | 0.10%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617NWHS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    876761 | PA      | $741790.18    | 0.11%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492647 | PA      | $424117.50    | 0.06%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532131 | PA      | $541937.73    | 0.08%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5038 | PA      | $4734.30      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DLG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52802 | PA      | $48728.03     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52315 | PA      | $48245.67     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18093 | PA      | $16685.49     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14722 | PA      | $13824.83     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DR33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34557 | PA      | $31890.33     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65442 | PA      | $61614.59     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112493 | PA      | $105459.20    | 0.02%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180NAD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26247 | PA      | $24606.50     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180UHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9834 | PA      | $9234.61      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36181FM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9497 | PA      | $8956.47      | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36181FM99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20845 | PA      | $19574.74     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36181GDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105057 | PA      | $97014.31     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18000 | PA      | $16515.75     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              |  | US        |    500000 | PA      | $492195.20    | 0.07%             | 2034-09-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AW9<br>LEI: N/A                  | Long             | DBT              |  | US        |    200000 | PA      | $193573.68    | 0.03%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5RF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1989975 | PA      | $2004938.62   | 0.30%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5VT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    948514 | PA      | $985718.68    | 0.15%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129740 | PA      | $120198.58    | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24334 | PA      | $24512.70     | 0.00%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202D2W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8897 | PA      | $9201.35      | 0.00%             | 2033-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202DJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       939 | PA      | $971.40       | 0.00%             | 2030-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25494 | PA      | $26174.61     | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EQN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23653 | PA      | $25445.73     | 0.00%             | 2037-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10967 | PA      | $11524.46     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57001 | PA      | $60400.05     | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28512 | PA      | $29158.95     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116452 | PA      | $120175.91    | 0.02%             | 2039-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39410 | PA      | $40256.81     | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57899 | PA      | $58999.79     | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140703 | PA      | $135450.29    | 0.02%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50311 | PA      | $49889.61     | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26041 | PA      | $25818.80     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110210 | PA      | $112137.80    | 0.02%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6070 | PA      | $6015.75      | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A5J75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2980 | PA      | $2845.43      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A82U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22556 | PA      | $22440.80     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A9TL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31314 | PA      | $31702.49     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620ALVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15207 | PA      | $14593.73     | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3620ARSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174023 | PA      | $165774.25    | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3620ARST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53293 | PA      | $50767.51     | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56676 | PA      | $54110.18     | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620AWS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22752 | PA      | $21847.87     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620AWSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18167 | PA      | $17445.12     | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620C0XW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84584 | PA      | $85991.40     | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620C0Y44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80263 | PA      | $81598.80     | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36210BBZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3073 | PA      | $3119.95      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36213ESA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1477 | PA      | $1500.31      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36225A3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1529 | PA      | $1556.69      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125503 | PA      | $116472.41    | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208017 | PA      | $195091.06    | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37786 | PA      | $34109.17     | 0.01%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161753 | PA      | $150706.54    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220412 | PA      | $205060.92    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243534 | PA      | $225890.69    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34883 | PA      | $31430.33     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174340 | PA      | $163093.05    | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83633 | PA      | $76373.29     | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153794 | PA      | $139493.71    | 0.02%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2RT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293664 | PA      | $266381.08    | 0.04%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2SC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13334 | PA      | $12094.86     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75913 | PA      | $68860.62     | 0.01%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42221 | PA      | $39761.83     | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622AABZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67860 | PA      | $65155.95     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110142 | PA      | $99520.19     | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58407 | PA      | $53336.43     | 0.01%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13380 | PA      | $12725.61     | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AAEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42915 | PA      | $40679.22     | 0.01%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98512 | PA      | $93416.71     | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622ACNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143927 | PA      | $146130.99    | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230NHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13007 | PA      | $12482.66     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7436 | PA      | $7010.05      | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26373 | PA      | $25354.64     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27619 | PA      | $26552.67     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230SMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9097 | PA      | $8745.81      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230SME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3144 | PA      | $3030.91      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230UCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22085 | PA      | $21207.48     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230UGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48690 | PA      | $46755.46     | 0.01%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36241KWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16111 | PA      | $16750.98     | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36241KZC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33348 | PA      | $34673.06     | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42018 | PA      | $43233.08     | 0.01%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2015-GC30                                          | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    196253 | PA      | $190365.64    | 0.03%             | 2050-05-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36294UU67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3758 | PA      | $3531.30      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36295NPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30146 | PA      | $27802.01     | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36295QGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       135 | PA      | $136.27       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296GJF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6113 | PA      | $5869.97      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76242 | PA      | $75281.54     | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296QME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33919 | PA      | $33492.09     | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36151 | PA      | $35978.20     | 0.01%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36297GD64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92997 | PA      | $94938.52     | 0.01%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                         | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    440000 | PA      | $300989.61    | 0.04%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GAP INC/THE                                                                      | Gap Inc/The                                                                     | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    153000 | PA      | $142918.07    | 0.02%             | 2029-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GARRETT MOTION HLD/SARL                                                          | Garrett Motion Holdings Inc / Garrett LX I Sarl                                 | CUSIP: 366504AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    318000 | PA      | $329265.15    | 0.05%             | 2032-05-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                            | General Dynamics Corp                                                           | CUSIP: 369550BP2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    550000 | PA      | $495073.15    | 0.07%             | 2031-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                              | General Electric Co                                                             | CUSIP: 369604CA9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    245000 | PA      | $245197.94    | 0.04%             | 2036-01-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19000 | PA      | $19839.91     | 0.00%             | 2030-04-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    128000 | PA      | $132261.89    | 0.02%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    134000 | PA      | $137806.94    | 0.02%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $77496.90     | 0.01%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $49763.78     | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                                                            | GENMAB A/S/GENMAB FINANCE LLC                                                   | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |    200000 | PA      | $205046.40    | 0.03%             | 2032-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                                                            | GENMAB A/S/GENMAB FINANCE LLC                                                   | CUSIP: 37230JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |    412000 | PA      | $431253.17    | 0.06%             | 2033-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GENTING NY LLC/GENNY CAP                                                         | Genting New York LLC / GENNY Capital Inc                                        | CUSIP: 37255JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    149000 | PA      | $149599.68    | 0.02%             | 2029-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY                                                            | Georgetown University/The                                                       | CUSIP: 37310PAD3<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |     27000 | PA      | $17207.48     | 0.00%             | 2050-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    300000 | PA      | $303730.43    | 0.05%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GETTY IMAGES INC                                                                 | Getty Images Inc                                                                | CUSIP: 374276AR4<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |     39000 | PA      | $34975.96     | 0.01%             | 2030-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                          | Global Partners LP / GLP Finance Corp                                           | CUSIP: 37954FAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     84000 | PA      | $86809.80     | 0.01%             | 2032-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GOLAR LNG LTD                                                                    | Golar LNG Ltd                                                                   | CUSIP: 38046YAE1<br>LEI: 213800C2VSFZG3EZLO34 | Long             | DBT              | CORP              | BM        |    218000 | PA      | $219833.38    | 0.03%             | 2030-10-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1501700.68   | 0.22%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    370000 | PA      | $331364.18    | 0.05%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1073000 | PA      | $941699.55    | 0.14%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1377000 | PA      | $1236894.53   | 0.18%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1143191.92   | 0.17%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAU4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    620000 | PA      | $599013.50    | 0.09%             | 2041-02-02      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| GRAHAM HOLDINGS CO                                                               | Graham Holdings Co                                                              | CUSIP: 384637AC8<br>LEI: 529900BOSCEEEMAFQJ29 | Long             | DBT              | CORP              | US        |    102000 | PA      | $99921.82     | 0.01%             | 2033-12-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| WW GRAINGER INC                                                                  | WW Grainger Inc                                                                 | CUSIP: 384802AF1<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |    880000 | PA      | $865336.58    | 0.13%             | 2034-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Grand Parkway Transportation Corp                                                | GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE                                | CUSIP: 38611TDL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    100000 | PA      | $69520.05     | 0.01%             | 2052-10-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                                   | Gray Media Inc                                                                  | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19998.73     | 0.00%             | 2032-07-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| GRUBHUB HOLDINGS INC                                                             | GrubHub Holdings Inc                                                            | CUSIP: 40010PAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    178000 | PA      | $139970.91    | 0.02%             | 2030-07-31      | Fixed         | 13.00%                | No            |                  2 | On Loan: —       |
| GULFPORT ENERGY OP CORP                                                          | Gulfport Energy Operating Corp                                                  | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |    211000 | PA      | $215793.92    | 0.03%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| HLF FIN SARL LLC/HERBALI                                                         | HLF Financing Sarl LLC / Herbalife International Inc                            | CUSIP: 40390DAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    163000 | PA      | $173825.48    | 0.03%             | 2029-04-15      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    485000 | PA      | $457074.77    | 0.07%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    175000 | PA      | $115824.40    | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    720000 | PA      | $669092.94    | 0.10%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    745000 | PA      | $594728.29    | 0.09%             | 2052-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    535000 | PA      | $548373.75    | 0.08%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    425000 | PA      | $434028.13    | 0.06%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    180000 | PA      | $173736.65    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    170000 | PA      | $163515.63    | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1740000 | PA      | $1703599.44   | 0.25%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280EL9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    570000 | PA      | $577384.02    | 0.09%             | 2035-11-18      | Fixed         | 5.87%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    735000 | PA      | $748340.79    | 0.11%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280ES4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    570000 | PA      | $571660.70    | 0.08%             | 2036-03-03      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    485000 | PA      | $474404.85    | 0.07%             | 2036-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD                                                                    | HTA Group Ltd/Mauritius                                                         | CUSIP: 40435WAC4<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |    282000 | PA      | $285525.00    | 0.04%             | 2029-06-04      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                                         | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |     58000 | PA      | $36141.44     | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| HA SUSTAINABLE INF CAP                                                           | HA Sustainable Infrastructure Capital Inc                                       | CUSIP: 41068XAH3<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    335000 | PA      | $333401.72    | 0.05%             | 2056-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: —       |
| HARROW INC                                                                       | Harrow Inc                                                                      | CUSIP: 415858AC3<br>LEI: 529900AP4LIRLNV8A089 | Long             | DBT              | CORP              | US        |     92000 | PA      | $93042.36     | 0.01%             | 2030-09-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                                         | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AQ4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    114000 | PA      | $115710.34    | 0.02%             | 2032-04-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| HOAG MEMORIAL HOSPITAL                                                           | Hoag Memorial Hospital Presbyterian                                             | CUSIP: 43371HAA1<br>LEI: FZFVQHQN7LISVXIZDB30 | Long             | DBT              | CORP              | US        |     73000 | PA      | $54462.91     | 0.01%             | 2052-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076AU6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200591.18    | 0.03%             | 2040-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076BZ4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    110000 | PA      | $72879.02     | 0.01%             | 2049-12-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076DG4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28164.67     | 0.00%             | 2064-06-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| HONEYWELL INTERNATIONAL                                                          | Honeywell International Inc                                                     | CUSIP: 438516CM6<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    750000 | PA      | $737843.07    | 0.11%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                               | Howard Hughes Corp/The                                                          | CUSIP: 44267DAH0<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     85000 | PA      | $81628.04     | 0.01%             | 2034-03-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                | Hyatt Hotels Corp                                                               | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   1625000 | PA      | $1644696.64   | 0.24%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| IBM INTERNAT CAPITAL                                                             | IBM International Capital Pte Ltd                                               | CUSIP: 449276AF1<br>LEI: 2549007KTXQQBYZO7485 | Long             | DBT              | CORP              | SG        |    300000 | PA      | $275886.04    | 0.04%             | 2044-02-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IBM INTERNAT CAPITAL                                                             | IBM International Capital Pte Ltd                                               | CUSIP: 449276AG9<br>LEI: 2549007KTXQQBYZO7485 | Long             | DBT              | CORP              | SG        |    200000 | PA      | $177705.76    | 0.03%             | 2054-02-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| IHO VERWALTUNGS GMBH                                                             | IHO Verwaltungs GmbH                                                            | CUSIP: 44963BAG3<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    110000 | PA      | $112687.19    | 0.02%             | 2032-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CF2<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |    190000 | PA      | $186798.96    | 0.03%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CJ4<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |     96000 | PA      | $90029.31     | 0.01%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CK1<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |    205000 | PA      | $201955.38    | 0.03%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| IDAHO POWER CO                                                                   | Idaho Power Co                                                                  | CUSIP: 45138LBJ1<br>LEI: TN0LL73P2C8X3W6KM391 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69786.59     | 0.01%             | 2054-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                                       | CUSIP: 45167RAH7<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |   2189000 | PA      | $1975137.94   | 0.29%             | 2031-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                     | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    222500 | PA      | $226640.32    | 0.03%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| INDIANA MICHIGAN POWER                                                           | Indiana Michigan Power Co                                                       | CUSIP: 454889AV8<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48127.56     | 0.01%             | 2053-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                            | Indonesia Government International Bond                                         | CUSIP: 455780CB0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    300000 | PA      | $263325.00    | 0.04%             | 2047-07-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                            | Indonesia Government International Bond                                         | CUSIP: 455780CX2<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    200000 | PA      | $120750.00    | 0.02%             | 2071-03-12      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                    | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    855000 | PA      | $860316.33    | 0.13%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: —       |
| ING GROEP NV                                                                     | ING Groep NV                                                                    | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    545000 | PA      | $574831.32    | 0.09%             | 2034-09-11      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                                                               | Trane Technologies Financing Ltd                                                | CUSIP: 456873AF5<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |     95000 | PA      | $80283.34     | 0.01%             | 2049-03-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INFINITY NATURAL RESOURC                                                         | Infinity Natural Resources LLC                                                  | CUSIP: 45690BAA3<br>LEI: 54930021094IFVB5ND43 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40211.20     | 0.01%             | 2031-04-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| INSTALLED BUILDING PRODU                                                         | Installed Building Products Inc                                                 | CUSIP: 45780RAB7<br>LEI: 549300I95Y9P9YM5FI86 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39031.84     | 0.01%             | 2034-02-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| INSULET CORPORATION                                                              | Insulet Corp                                                                    | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |    207000 | PA      | $211285.31    | 0.03%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INOVA HEALTH SYSTEMS FOU                                                         | Inova Health System Foundation                                                  | CUSIP: 45791GAA0<br>LEI: 5493001L7PBVS286Y307 | Long             | DBT              | CORP              | US        |     18000 | PA      | $14088.02     | 0.00%             | 2052-05-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: —       |
| INTER-AMERICAN DEVEL BK                                                          | Inter-American Development Bank                                                 | CUSIP: 4581X0EK0<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |   1730000 | PA      | $1731448.93   | 0.26%             | 2026-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                         | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAQ7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    180000 | PA      | $102968.28    | 0.02%             | 2060-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                                            | CUSIP: 459200KC4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    746000 | PA      | $574892.41    | 0.09%             | 2049-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                   | CUSIP: 461070AS3<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18276.79     | 0.00%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                   | CUSIP: 461070AX2<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20489.99     | 0.00%             | 2035-06-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAD8<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |     71000 | PA      | $63254.79     | 0.01%             | 2030-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: —       |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    460000 | PA      | $467977.60    | 0.07%             | 2033-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    150000 | PA      | $137967.74    | 0.02%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| IRON MOUNTAIN INC                                                                | Iron Mountain Inc                                                               | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |     90000 | PA      | $91728.99     | 0.01%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                | Iron Mountain Inc                                                               | CUSIP: 46284VAQ4<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |     94000 | PA      | $93699.42     | 0.01%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| ITHACA ENERGY NORTH                                                              | Ithaca Energy North Sea PLC                                                     | CUSIP: 46567TAC8<br>LEI: 213800BMMUN3AKWBIO91 | Long             | DBT              | CORP              | GB        |    350000 | PA      | $358888.60    | 0.05%             | 2029-10-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| IVANHOE MINES LTD                                                                | Ivanhoe Mines Ltd                                                               | CUSIP: 46579RAE4<br>LEI: 5299006XZISURYIA4G32 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $202410.00    | 0.03%             | 2030-01-23      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16                | CUSIP: 46629GAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $10822.90     | 0.00%             | 2045-05-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | Jabil Inc                                                                       | CUSIP: 466313AL7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $1053648.08   | 0.16%             | 2026-04-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    580000 | PA      | $509171.42    | 0.08%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1063000 | PA      | $960590.99    | 0.14%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    415000 | PA      | $376497.39    | 0.06%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    665000 | PA      | $668272.88    | 0.10%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    470000 | PA      | $470324.30    | 0.07%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    805000 | PA      | $796170.32    | 0.12%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1734648.98   | 0.26%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    320000 | PA      | $324066.02    | 0.05%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                          | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     66000 | PA      | $66961.49     | 0.01%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                                          | JetBlue Airways Corp / JetBlue Loyalty LP                                       | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    531000 | PA      | $501825.98    | 0.07%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| JOHNSON & JOHNSON                                                                | Johnson & Johnson                                                               | CUSIP: 478160BV5<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    279000 | PA      | $221655.77    | 0.03%             | 2046-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                                | Johnson & Johnson                                                               | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    195000 | PA      | $175161.84    | 0.03%             | 2037-03-03      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                                                             | Kaiser Aluminum Corp                                                            | CUSIP: 483007AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23000 | PA      | $22582.96     | 0.00%             | 2034-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     57000 | PA      | $41351.47     | 0.01%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    161000 | PA      | $103117.94    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KAROON USA FINANCE INC                                                           | Karoon USA Finance Inc                                                          | CUSIP: 48575AAA9<br>LEI: 254900I4IZ164TOMZH46 | Long             | DBT              | CORP              | US        |     75000 | PA      | $77545.50     | 0.01%             | 2029-05-14      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                                                            | Kentucky Utilities Co                                                           | CUSIP: 491674BM8<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |     60000 | PA      | $40289.72     | 0.01%             | 2050-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                            | Keysight Technologies Inc                                                       | CUSIP: 49338LAG8<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |    325000 | PA      | $321599.83    | 0.05%             | 2034-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                              | Kimberly-Clark Corp                                                             | CUSIP: 494368CA9<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    160000 | PA      | $103296.46    | 0.02%             | 2050-02-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                          | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550AW6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    300000 | PA      | $334911.15    | 0.05%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                               | CUSIP: 49456BBA8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    470000 | PA      | $466293.93    | 0.07%             | 2054-08-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| KIOXIA HOLDINGS CORP                                                             | Kioxia Holdings Corp                                                            | CUSIP: 49726JAA6<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |     87000 | PA      | $88403.22     | 0.01%             | 2030-07-24      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KIOXIA HOLDINGS CORP                                                             | Kioxia Holdings Corp                                                            | CUSIP: 49726JAB4<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |    166000 | PA      | $170618.93    | 0.03%             | 2033-07-24      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                          | Kodiak Gas Services LLC                                                         | CUSIP: 50012LAF1<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55272.38     | 0.01%             | 2031-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION                                                               | Kohl's Corp                                                                     | CUSIP: 500255AY0<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |     42000 | PA      | $44411.72     | 0.01%             | 2030-06-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| KROGER CO                                                                        | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236967.10    | 0.04%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                                             | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAM2<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |     30000 | PA      | $20890.08     | 0.00%             | 2041-10-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                 | LPL Holdings Inc                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    945000 | PA      | $936905.16    | 0.14%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                            | CUSIP: 517834AL1<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     85000 | PA      | $87098.28     | 0.01%             | 2034-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                      | Lennar Corp                                                                     | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90138.04     | 0.01%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                           | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    405267 | PA      | $412691.95    | 0.06%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LIFE TIME INC                                                                    | Life Time Inc                                                                   | CUSIP: 53190FAE5<br>LEI: 549300PALKE96VYH4X17 | Long             | DBT              | CORP              | US        |    154000 | PA      | $155220.14    | 0.02%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| LIGHT & WONDER INTL INC                                                          | Light & Wonder International Inc                                                | CUSIP: 531968AA3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    198000 | PA      | $203207.40    | 0.03%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CG1<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    115000 | PA      | $102737.14    | 0.02%             | 2053-02-27      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    160000 | PA      | $140453.41    | 0.02%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CW6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    530000 | PA      | $541779.32    | 0.08%             | 2032-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457DF2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59228.25     | 0.01%             | 2055-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457DG0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    105000 | PA      | $103131.39    | 0.02%             | 2065-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LINDBLAD EXPEDITIONS LLC                                                         | Lindblad Expeditions LLC                                                        | CUSIP: 53523LAB6<br>LEI: 549300MPUWOG67Y2R254 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40839.64     | 0.01%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                         | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |     85000 | PA      | $83505.44     | 0.01%             | 2036-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                         | CUSIP: 54627RAP5<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |     65000 | PA      | $62654.14     | 0.01%             | 2039-08-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    280000 | PA      | $277796.51    | 0.04%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52246.64     | 0.01%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                             | M&T Bank Corp                                                                   | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1506805.50   | 0.22%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| SEKISUI HOUSE US                                                                 | Sekisui House US Inc                                                            | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |     30000 | PA      | $19749.48     | 0.00%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: —       |
| MGIC INVESTMENT CORP                                                             | MGIC Investment Corp                                                            | CUSIP: 552848AG8<br>LEI: 254900S8483WM4M98R28 | Long             | DBT              | CORP              | US        |     63000 | PA      | $62839.34     | 0.01%             | 2028-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                                                         | MPH Acquisition Holdings LLC                                                    | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |      4325 | PA      | $3893.31      | 0.00%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: —       |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     47000 | PA      | $41524.09     | 0.01%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    355000 | PA      | $288544.57    | 0.04%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    340000 | PA      | $275192.03    | 0.04%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    535000 | PA      | $483548.78    | 0.07%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    875000 | PA      | $877002.31    | 0.13%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VCF5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    525000 | PA      | $510463.02    | 0.08%             | 2056-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                          | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              |  | US        |    161000 | PA      | $149864.44    | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                          | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              |  | US        |    190000 | PA      | $147730.66    | 0.02%             | 2029-08-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                         | MSCI Inc                                                                        | CUSIP: 55354GAS9<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    740000 | PA      | $716750.46    | 0.11%             | 2036-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| MACY'S RETAIL HLDGS LLC                                                          | Macy's Retail Holdings LLC                                                      | CUSIP: 55617LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    179000 | PA      | $183376.91    | 0.03%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| DISCOVERY HOLDINGS INC                                                           | Discovery Global Holdings Inc                                                   | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    176000 | PA      | $155760.00    | 0.02%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| DISCOVERY HOLDINGS INC                                                           | Discovery Global Holdings Inc                                                   | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    102000 | PA      | $61965.00     | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| DISCOVERY HOLDINGS INC                                                           | Discovery Global Holdings Inc                                                   | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    275000 | PA      | $181171.57    | 0.03%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| DISCOVERY HOLDINGS INC                                                           | Discovery Global Holdings Inc                                                   | CUSIP: 55903VBY8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72562.50     | 0.01%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA OIL GAS/MAG FIN                                                         | Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp              | CUSIP: 559665AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    194000 | PA      | $199654.52    | 0.03%             | 2032-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MANITOWOC COMPANY INC                                                            | Manitowoc Co Inc/The                                                            | CUSIP: 563571AN8<br>LEI: 2RTSLGQ89VMY18RHX631 | Long             | DBT              | CORP              | US        |    117000 | PA      | $122180.53    | 0.02%             | 2031-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| MARKEL GROUP INC                                                                 | Markel Group Inc                                                                | CUSIP: 570535AY0<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |    485000 | PA      | $472053.53    | 0.07%             | 2054-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BD3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    515000 | PA      | $412266.41    | 0.06%             | 2048-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    111000 | PA      | $104144.28    | 0.02%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BB8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     46000 | PA      | $46256.22     | 0.01%             | 2028-12-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     41000 | PA      | $41004.52     | 0.01%             | 2030-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    670000 | PA      | $613517.08    | 0.09%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    170000 | PA      | $171531.29    | 0.03%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BN2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    310000 | PA      | $318036.97    | 0.05%             | 2028-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BS1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    800000 | PA      | $805208.18    | 0.12%             | 2035-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BZ5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    455000 | PA      | $432564.10    | 0.06%             | 2038-05-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                                                         | Martin Marietta Materials Inc                                                   | CUSIP: 573284BA3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    620000 | PA      | $620222.93    | 0.09%             | 2034-12-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                | CUSIP: 57421CAV6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    115000 | PA      | $90003.30     | 0.01%             | 2040-07-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                | CUSIP: 57421CAW4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     80000 | PA      | $54446.88     | 0.01%             | 2050-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| MASCO CORP                                                                       | Masco Corp                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    160000 | PA      | $142207.24    | 0.02%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE OF TECH                                                           | Massachusetts Institute of Technology                                           | CUSIP: 575718AJ0<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |    264000 | PA      | $176465.31    | 0.03%             | 2052-04-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Massachusetts                                                    | MASSACHUSETTS ST                                                                | CUSIP: 57582RYY6<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |    100000 | PA      | $67970.08     | 0.01%             | 2049-09-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                  | CUSIP: 57636QAT1<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1009970.85   | 0.15%             | 2051-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                  | CUSIP: 57636QBC7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    385000 | PA      | $378184.38    | 0.06%             | 2035-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                                           | Match Group Holdings II LLC                                                     | CUSIP: 57665RAJ5<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     72000 | PA      | $71095.83     | 0.01%             | 2029-02-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                                           | Match Group Holdings II LLC                                                     | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    142000 | PA      | $137997.52    | 0.02%             | 2033-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    180000 | PA      | $129549.49    | 0.02%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                 | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    350000 | PA      | $316223.40    | 0.05%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| MEMORIAL SLOAN-KETTERING                                                         | Memorial Sloan-Kettering Cancer Center                                          | CUSIP: 586054AD0<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |     46000 | PA      | $29878.73     | 0.00%             | 2050-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                  | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    330000 | PA      | $258384.66    | 0.04%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                  | CUSIP: 58933YBM6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    710000 | PA      | $639856.06    | 0.10%             | 2053-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| METHODIST HOSPITAL/THE                                                           | Methodist Hospital/The                                                          | CUSIP: 591539AA9<br>LEI: 549300Y1E42JLBRENF23 | Long             | DBT              | CORP              | US        |     87000 | PA      | $52874.31     | 0.01%             | 2050-12-01      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    325000 | PA      | $194871.62    | 0.03%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                  | CUSIP: 594918CW2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    125000 | PA      | $74262.86     | 0.01%             | 2050-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AQ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99001.78     | 0.01%             | 2027-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     60000 | PA      | $39680.45     | 0.01%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AW5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    105000 | PA      | $63126.03     | 0.01%             | 2052-08-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                                                           | Millicom International Cellular SA                                              | CUSIP: 600814AQ0<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     67500 | PA      | $67053.83     | 0.01%             | 2029-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                                                           | Millicom International Cellular SA                                              | CUSIP: 600814AS6<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |    253000 | PA      | $256643.20    | 0.04%             | 2032-04-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                          | Millrose Properties Inc                                                         | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              |  | US        |     55000 | PA      | $54982.89     | 0.01%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                          | Millrose Properties Inc                                                         | CUSIP: 601137AB8<br>LEI: N/A                  | Long             | DBT              |  | US        |    162000 | PA      | $159020.46    | 0.02%             | 2032-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                            | Mineral Resources Ltd                                                           | CUSIP: 603051AF0<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    218000 | PA      | $222778.43    | 0.03%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BX1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    425000 | PA      | $374352.49    | 0.06%             | 2032-07-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: —       |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CB8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    315000 | PA      | $278345.79    | 0.04%             | 2032-10-13      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    590000 | PA      | $612863.21    | 0.09%             | 2034-07-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MOOG INC                                                                         | Moog Inc                                                                        | CUSIP: 615394AP8<br>LEI: 549300WM2I4U7OBAHG07 | Long             | DBT              | CORP              | US        |     65000 | PA      | $65204.21     | 0.01%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     65000 | PA      | $60354.02     | 0.01%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    415000 | PA      | $359364.43    | 0.05%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    233000 | PA      | $192663.52    | 0.03%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    210000 | PA      | $185417.85    | 0.03%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    265000 | PA      | $271469.01    | 0.04%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    140000 | PA      | $141969.06    | 0.02%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55908.86     | 0.01%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    205000 | PA      | $212828.53    | 0.03%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    525000 | PA      | $535250.52    | 0.08%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                          | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   1825000 | PA      | $1819347.19   | 0.27%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    927000 | PA      | $885840.31    | 0.13%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    260000 | PA      | $260369.40    | 0.04%             | 2029-05-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    625000 | PA      | $632495.56    | 0.09%             | 2034-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    230000 | PA      | $235150.00    | 0.03%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL CORP                                                                  | Murphy Oil Corp                                                                 | CUSIP: 626717AQ5<br>LEI: QBKYQD0ODE7DC7PDIN91 | Long             | DBT              | CORP              | US        |     68000 | PA      | $67154.26     | 0.01%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                                            | NGL Energy Operating LLC / NGL Energy Finance Corp                              | CUSIP: 62922LAC2<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |    142000 | PA      | $146281.02    | 0.02%             | 2029-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                                            | NGL Energy Operating LLC / NGL Energy Finance Corp                              | CUSIP: 62922LAD0<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |    208000 | PA      | $214353.15    | 0.03%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                  | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     36000 | PA      | $36287.00     | 0.01%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     58000 | PA      | $57472.61     | 0.01%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NVR INC                                                                          | NVR Inc                                                                         | CUSIP: 62944TAF2<br>LEI: 529900RWXR4JI3JYTV70 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1294682.21   | 0.19%             | 2030-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                            | Nabors Industries Inc                                                           | CUSIP: 62957HAP0<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     83000 | PA      | $87149.25     | 0.01%             | 2030-01-31      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                            | Nabors Industries Inc                                                           | CUSIP: 62957HAQ8<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     66000 | PA      | $68757.28     | 0.01%             | 2031-08-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                            | Nabors Industries Inc                                                           | CUSIP: 62957HAR6<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     78000 | PA      | $79844.51     | 0.01%             | 2032-11-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                       | Nasdaq Inc                                                                      | CUSIP: 631103AG3<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     32000 | PA      | $31987.31     | 0.00%             | 2026-06-30      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                                                             | National Fuel Gas Co                                                            | CUSIP: 636180BU4<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    450000 | PA      | $465549.33    | 0.07%             | 2035-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                | National Grid PLC                                                               | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |     90000 | PA      | $91712.20     | 0.01%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: —       |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NS0<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    330000 | PA      | $323660.09    | 0.05%             | 2029-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743HFS6<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81709.56     | 0.01%             | 2029-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NCR ATLEOS LLC                                                                   | NCR Atleos Corp                                                                 | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |    178000 | PA      | $190538.74    | 0.03%             | 2029-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                      | Netflix Inc                                                                     | CUSIP: 64110LBA3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96844.50     | 0.01%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables A LLC                                            | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    519854 | PA      | $524415.68    | 0.08%             | 2031-10-20      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables 2024 LLC                                         | CUSIP: 64113EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    781052 | PA      | $789316.09    | 0.12%             | 2030-10-21      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                                                  | Nevada Power Co                                                                 | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90125.74     | 0.01%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW FLYER HOLDINGS                                                               | New Flyer Holdings Inc                                                          | CUSIP: 64438WAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    196000 | PA      | $209492.80    | 0.03%             | 2030-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| NEW GOLD INC                                                                     | New Gold Inc                                                                    | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |    129000 | PA      | $133328.98    | 0.02%             | 2032-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                                    | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                    | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |    150000 | PA      | $173048.39    | 0.03%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                               | Rithm Capital Corp                                                              | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              |  | US        |    273000 | PA      | $268203.55    | 0.04%             | 2029-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                               | Rithm Capital Corp                                                              | CUSIP: 64828TAC6<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              |  | US        |     90000 | PA      | $86866.27     | 0.01%             | 2030-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                              | NEW YORK NY                                                                     | CUSIP: 64966Q7G9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    130000 | PA      | $131915.94    | 0.02%             | 2053-10-01      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                        | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |    250000 | PA      | $251532.50    | 0.04%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                | Nexstar Media Inc                                                               | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    146000 | PA      | $143556.04    | 0.02%             | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    245000 | PA      | $242865.81    | 0.04%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182252.43    | 0.03%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50348.34     | 0.01%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75201.87     | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDY3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198207.23    | 0.03%             | 2031-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                | Nexstar Media Inc                                                               | CUSIP: 65346UAA7<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    180000 | PA      | $180535.80    | 0.03%             | 2034-04-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                | Nexstar Media Inc                                                               | CUSIP: 65346UAB5<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    240000 | PA      | $241828.56    | 0.04%             | 2033-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57818.71     | 0.01%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17291.94     | 0.00%             | 2052-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81397.51     | 0.01%             | 2034-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473QBG7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    130000 | PA      | $97510.44     | 0.01%             | 2048-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    108000 | PA      | $103792.43    | 0.02%             | 2030-09-30      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    106000 | PA      | $106810.51    | 0.02%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654922AC7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    215000 | PA      | $217707.89    | 0.03%             | 2032-07-17      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654922AD5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    100000 | PA      | $102884.13    | 0.02%             | 2035-07-17      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                                             | Noble Finance II LLC                                                            | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    261000 | PA      | $268722.13    | 0.04%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                    | Nordstrom Inc                                                                   | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |     85000 | PA      | $79343.38     | 0.01%             | 2030-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| NORTHERN STATES PWR-MINN                                                         | Northern States Power Co/MN                                                     | CUSIP: 665772CY3<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     85000 | PA      | $80558.43     | 0.01%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| NORTHERN STATES PWR-WISC                                                         | Northern States Power Co/WI                                                     | CUSIP: 665789BC6<br>LEI: OOVRSRHKQSBLKRB7QM17 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68725.43     | 0.01%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN UNIVERSITY                                                          | Northwestern University                                                         | CUSIP: 668444AS1<br>LEI: OBWWNZE695DUK77DTI34 | Long             | DBT              | CORP              | US        |    266000 | PA      | $163280.62    | 0.02%             | 2050-12-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                            | Novartis Capital Corp                                                           | CUSIP: 66989HAS7<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    271000 | PA      | $170333.15    | 0.03%             | 2050-08-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| NOVELIS CORP                                                                     | Novelis Corp                                                                    | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     95000 | PA      | $95823.75     | 0.01%             | 2030-01-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                               | CUSIP: 67021CAQ0<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    110000 | PA      | $71608.65     | 0.01%             | 2051-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                               | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     90000 | PA      | $79657.91     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ondeck Asset Securitization Trust LLC                                            | OnDeck Asset Securitization Trust IV LLC                                        | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1460000 | PA      | $1468564.94   | 0.22%             | 2030-08-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                                | Chord Energy Corp                                                               | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    125000 | PA      | $129055.27    | 0.02%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                                | Chord Energy Corp                                                               | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81061.60     | 0.01%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                                            | Oglethorpe Power Corp                                                           | CUSIP: 677050AU0<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66161.03     | 0.01%             | 2053-12-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                   | CUSIP: 677415CW9<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154029.85    | 0.02%             | 2034-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| OKLAHOMA G&E CO                                                                  | Oklahoma Gas and Electric Co                                                    | CUSIP: 678858BY6<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62327.65     | 0.01%             | 2053-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                           | OKLAHOMA ST DEV FIN AUTH                                                        | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |    110000 | PA      | $106911.86    | 0.02%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OMNICOM GROUP INC                                                                | Omnicom Group Inc                                                               | CUSIP: 681919BT2<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | DBT              | CORP              | US        |     78000 | PA      | $57160.37     | 0.01%             | 2041-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                                                         | Omega Healthcare Investors Inc                                                  | CUSIP: 681936BP4<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |   1000000 | PA      | $1004061.59   | 0.15%             | 2030-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBP8<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    120000 | PA      | $87870.05     | 0.01%             | 2049-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCH5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32708.16     | 0.00%             | 2052-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61481.81     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1211258.98   | 0.18%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     80000 | PA      | $86270.37     | 0.01%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    590000 | PA      | $621552.06    | 0.09%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                                                | ONEOK Partners LP                                                               | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76157.25     | 0.01%             | 2041-02-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AE0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    195000 | PA      | $201235.57    | 0.03%             | 2030-03-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    251000 | PA      | $252340.34    | 0.04%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     67000 | PA      | $66383.38     | 0.01%             | 2031-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    115000 | PA      | $115111.67    | 0.02%             | 2029-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AN0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     95000 | PA      | $91091.00     | 0.01%             | 2033-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                                 | OneMain Financial Issuance Trust 2019-2                                         | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5690000 | PA      | $5596046.15   | 0.83%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                   | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    450000 | PA      | $460729.80    | 0.07%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XAW5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     90000 | PA      | $66641.71     | 0.01%             | 2044-07-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    385000 | PA      | $351442.20    | 0.05%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     70000 | PA      | $42260.98     | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    683000 | PA      | $401927.79    | 0.06%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    845000 | PA      | $601356.05    | 0.09%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    111000 | PA      | $70335.77     | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    615000 | PA      | $546239.67    | 0.08%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    235000 | PA      | $229675.42    | 0.03%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    427000 | PA      | $340686.62    | 0.05%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    720000 | PA      | $556936.72    | 0.08%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1536898.90   | 0.23%             | 2035-08-03      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    125000 | PA      | $105158.84    | 0.02%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                             | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     70000 | PA      | $53232.99     | 0.01%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                             | CUSIP: 68902VAM9<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     70000 | PA      | $47801.99     | 0.01%             | 2050-02-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: —       |
| PBF HOLDING CO LLC                                                               | PBF Holding Co LLC / PBF Finance Corp                                           | CUSIP: 69318FAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     71000 | PA      | $72910.75     | 0.01%             | 2030-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                                  | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     70000 | PA      | $45326.39     | 0.01%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                                        | PG&E Corp                                                                       | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    138000 | PA      | $136919.81    | 0.02%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                                        | PG&E Corp                                                                       | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     84000 | PA      | $84538.81     | 0.01%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                                        | PG&E Corp                                                                       | CUSIP: 69331CAN8<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    345000 | PA      | $340904.26    | 0.05%             | 2056-09-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120492.50    | 0.02%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBC6<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    145000 | PA      | $144492.82    | 0.02%             | 2034-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     90000 | PA      | $67307.61     | 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        |    190000 | PA      | $125626.42    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64118.99     | 0.01%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    270000 | PA      | $223661.60    | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96748.74     | 0.01%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72631.04     | 0.01%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10951.45     | 0.00%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     95000 | PA      | $88525.60     | 0.01%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PacifiCorp                                                                      | CUSIP: 695114CT3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    280000 | PA      | $205264.19    | 0.03%             | 2049-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                       | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    900000 | PA      | $686262.34    | 0.10%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                       | CUSIP: 695156AX7<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    420000 | PA      | $435755.07    | 0.06%             | 2033-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                            | Panama Government International Bonds                                           | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    220000 | PA      | $142780.00    | 0.02%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                           | Patrick Industries Inc                                                          | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199987.19    | 0.03%             | 2032-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Pennsylvania State University/The                                                | PENNSYLVANIA ST UNIV                                                            | CUSIP: 709235T88<br>LEI: 549300QDK4O4XCJ47X56 | Long             | DBT              | MUN               | US        |     80000 | PA      | $53705.55     | 0.01%             | 2050-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAE7<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     86000 | PA      | $85464.63     | 0.01%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    140000 | PA      | $133943.17    | 0.02%             | 2033-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    207000 | PA      | $199753.41    | 0.03%             | 2032-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAH0<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25267.64     | 0.00%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                                     | CUSIP: 713448FT0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    365000 | PA      | $315238.67    | 0.05%             | 2053-02-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PERENTI FINANCE PTY LTD                                                          | Perenti Finance Pty Ltd                                                         | CUSIP: 71367VAB5<br>LEI: 894500ZDIIAOXSQHE612 | Long             | DBT              | CORP              | AU        |    130000 | PA      | $133386.62    | 0.02%             | 2029-04-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PERIMETER HOL                                                                    | Perimeter Holdings LLC                                                          | CUSIP: 71384AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $68652.53     | 0.01%             | 2034-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                                              | Peru Government International Bonds                                             | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    455000 | PA      | $309855.00    | 0.05%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                          | CUSIP: 715638FD9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     60000 | PA      | $60270.00     | 0.01%             | 2055-06-30      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| PETCO HEALTH & WELLNESS                                                          | Petco Health & Wellness Co Inc                                                  | CUSIP: 71601VAA3<br>LEI: 2549007TYGV6RVSE9M61 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44938.32     | 0.01%             | 2031-02-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| PFIZER INVESTMENT ENTER                                                          | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |     80000 | PA      | $72666.13     | 0.01%             | 2063-05-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                       | Pfizer Inc                                                                      | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $93517.05     | 0.01%             | 2039-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172BL2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    510000 | PA      | $422392.75    | 0.06%             | 2044-11-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    710000 | PA      | $747430.51    | 0.11%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    290000 | PA      | $298045.33    | 0.04%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    650000 | PA      | $678181.88    | 0.10%             | 2033-09-07      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286CL9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    200000 | PA      | $125800.00    | 0.02%             | 2045-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    200000 | PA      | $137400.00    | 0.02%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286DH7<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    240000 | PA      | $239700.00    | 0.04%             | 2050-02-04      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                   | Phillips 66 Co                                                                  | CUSIP: 718547AW2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $111933.02    | 0.02%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                                                       | Phinia Inc                                                                      | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |     76000 | PA      | $77372.03     | 0.01%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                                                       | Phinia Inc                                                                      | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |     69000 | PA      | $70130.98     | 0.01%             | 2032-10-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                          | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77764.35     | 0.01%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                             | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $998518.62    | 0.15%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBH4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    170000 | PA      | $147258.33    | 0.02%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $145153.73    | 0.02%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                                                         | Plains All American Pipeline LP                                                 | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    775000 | PA      | $800186.00    | 0.12%             | 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        |    250000 | PA      | $230322.50    | 0.03%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WX90<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    200000 | PA      | $163205.60    | 0.02%             | 2048-09-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: —       |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WXP4<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    200000 | PA      | $184057.20    | 0.03%             | 2045-06-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WXQ2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     50000 | PA      | $44779.39     | 0.01%             | 2065-10-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                               | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    264000 | PA      | $260077.67    | 0.04%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                               | CUSIP: 737446AX2<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    105000 | PA      | $102816.65    | 0.02%             | 2034-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                               | CUSIP: 737446AY0<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    216000 | PA      | $211533.31    | 0.03%             | 2036-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS OF HARVAR                                                         | President and Fellows of Harvard College                                        | CUSIP: 740816AP8<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |     54000 | PA      | $32501.78     | 0.00%             | 2050-10-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: —       |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                   | CUSIP: 74251VAT9<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    233000 | PA      | $237889.71    | 0.04%             | 2033-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                   | CUSIP: 74251VAU6<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83875.76     | 0.01%             | 2053-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                            | CUSIP: 743315AS2<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    135000 | PA      | $107723.18    | 0.02%             | 2047-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                            | CUSIP: 743315BA0<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |     35000 | PA      | $25439.42     | 0.00%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | Prologis LP                                                                     | CUSIP: 74340XCF6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |    145000 | PA      | $135117.90    | 0.02%             | 2053-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| PROV ST JOSEPH HLTH OBL                                                          | Providence St Joseph Health Obligated Group                                     | CUSIP: 743820AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    136000 | PA      | $79288.88     | 0.01%             | 2051-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                   | CUSIP: 744448CR0<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15349.69     | 0.00%             | 2049-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                   | CUSIP: 744448DA6<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    130000 | PA      | $126277.96    | 0.02%             | 2054-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                                          | Public Service Co of Oklahoma                                                   | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149207.84    | 0.02%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCE4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    105000 | PA      | $55444.85     | 0.01%             | 2050-08-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     85000 | PA      | $78269.91     | 0.01%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCQ7<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    295000 | PA      | $300010.52    | 0.04%             | 2034-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                           | Puget Sound Energy Inc                                                          | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94617.17     | 0.01%             | 2053-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| QVC INC                                                                          | QVC Inc                                                                         | CUSIP: 747262BA0<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |    252000 | PA      | $110880.00    | 0.02%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    890000 | PA      | $825519.40    | 0.12%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    605000 | PA      | $442358.67    | 0.07%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    360000 | PA      | $355055.14    | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | Province of Quebec Canada                                                       | CUSIP: 748148SE4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    600000 | PA      | $602190.00    | 0.09%             | 2033-09-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                                                            | QXO Building Products Inc                                                       | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    369000 | PA      | $376376.68    | 0.06%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                           | CUSIP: 74834LBE9<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1130040.70   | 0.17%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                           | CUSIP: 74834LBF6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1389848.72   | 0.21%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                                 | RELX Capital Inc                                                                | CUSIP: 74949LAG7<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121408.83    | 0.02%             | 2035-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                                                            | RPM International Inc                                                           | CUSIP: 749685AV5<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |    105000 | PA      | $104098.68    | 0.02%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                                                            | RPM International Inc                                                           | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |    227000 | PA      | $204064.35    | 0.03%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| RHP HOTEL PPTY/RHP FINAN                                                         | RHP Hotel Properties LP / RHP Finance Corp                                      | CUSIP: 74984CAA6<br>LEI: N/A                  | Long             | DBT              |  | US        |     30000 | PA      | $29605.61     | 0.00%             | 2034-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RAIN CARBON INC                                                                  | Rain Carbon Inc                                                                 | CUSIP: 75079LAB7<br>LEI: 25490038N6JQH7QXUK52 | Long             | DBT              | CORP              | US        |    154000 | PA      | $158442.75    | 0.02%             | 2029-09-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                               | CUSIP: 75102WAG3<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |    225000 | PA      | $232878.86    | 0.03%             | 2027-02-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                               | CUSIP: 75102WAK4<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $213119.61    | 0.03%             | 2029-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| RALPH LAUREN CORP                                                                | Ralph Lauren Corp                                                               | CUSIP: 751212AD3<br>LEI: HO1QNWM0IXBZ0QSMMO20 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1218642.17   | 0.18%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANYWHERE RE GRP/REALOGY                                                          | Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp                         | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    108000 | PA      | $104084.02    | 0.02%             | 2029-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANYWHERE RE GRP/REALOGY                                                          | Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp                         | CUSIP: 75606DAQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     92000 | PA      | $86715.33     | 0.01%             | 2030-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ANYWHERE RE GRP/REALOGY                                                          | Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp                         | CUSIP: 75606DAV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    104000 | PA      | $110402.66    | 0.02%             | 2030-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | Realty Income Corp                                                              | CUSIP: 756109CF9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    630000 | PA      | $636156.66    | 0.09%             | 2029-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                         | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   2440000 | PA      | $2162720.72   | 0.32%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| RELIANCE INC                                                                     | Reliance Inc                                                                    | CUSIP: 759509AG7<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1414767.47   | 0.21%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| RENAISSANCERE HOLDINGS L                                                         | RenaissanceRe Holdings Ltd                                                      | CUSIP: 75968NAE1<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $1026594.98   | 0.15%             | 2033-06-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                           | CUSIP: 760759BK5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    570000 | PA      | $581769.13    | 0.09%             | 2034-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                           | CUSIP: 760759BL3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    115000 | PA      | $116471.77    | 0.02%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| RESORTS WORLD/RWLV CAP                                                           | Resorts World Las Vegas LLC / RWLV Capital Inc                                  | CUSIP: 76120HAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     72000 | PA      | $68726.16     | 0.01%             | 2030-07-27      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA LTD                                                            | Rio Tinto Finance USA Ltd                                                       | CUSIP: 767201AT3<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |     10000 | PA      | $6022.92      | 0.00%             | 2051-11-02      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                            | RIO TINTO FIN USA PLC                                                           | CUSIP: 76720AAU0<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    785000 | PA      | $797540.56    | 0.12%             | 2035-03-14      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROCKEFELLER FOUNDATION                                                           | Rockefeller Foundation/The                                                      | CUSIP: 77310VAA2<br>LEI: 549300JU3NX0IK5I9038 | Long             | DBT              | CORP              | US        |     72000 | PA      | $42978.95     | 0.01%             | 2050-10-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: —       |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $105968.84    | 0.02%             | 2030-08-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $131463.20    | 0.02%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    182000 | PA      | $187593.41    | 0.03%             | 2032-02-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                                       | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     93000 | PA      | $93366.33     | 0.01%             | 2055-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                                       | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    107000 | PA      | $109491.82    | 0.02%             | 2055-04-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                           | Roper Technologies Inc                                                          | CUSIP: 776696AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    665000 | PA      | $661144.32    | 0.10%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016EZD2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    630000 | PA      | $626214.83    | 0.09%             | 2027-05-04      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016FZX5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $10077.08     | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016HZS2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $40792.65     | 0.01%             | 2028-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                                          | Royal Caribbean Cruises Ltd                                                     | CUSIP: 78017TAD5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    700000 | PA      | $665920.56    | 0.10%             | 2038-02-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VAR5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    463000 | PA      | $223676.14    | 0.03%             | 2060-08-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: —       |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VBQ6<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     95000 | PA      | $97774.19     | 0.01%             | 2033-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VBR4<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    285000 | PA      | $279269.14    | 0.04%             | 2035-12-04      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| SLM CORP                                                                         | SLM Corp                                                                        | CUSIP: 78442PGF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31000 | PA      | $30433.10     | 0.00%             | 2030-01-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                   | Sabre GLBL Inc                                                                  | CUSIP: 78573NAN2<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |      1000 | PA      | $840.50       | 0.00%             | 2030-03-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                | CUSIP: 79467BDX0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    140000 | PA      | $114295.71    | 0.02%             | 2042-01-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                                     | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     95000 | PA      | $87398.19     | 0.01%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    240000 | PA      | $236911.07    | 0.04%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2024-1                                   | CUSIP: 80288AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510000 | PA      | $514595.81    | 0.08%             | 2030-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513AU9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3935.24      | 0.00%             | 2028-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BG9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2614.07      | 0.00%             | 2031-03-11      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BS3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     13000 | PA      | $11693.59     | 0.00%             | 2031-05-13      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BT1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    105000 | PA      | $91386.74     | 0.01%             | 2031-12-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: —       |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44306.07     | 0.01%             | 2027-03-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3621.33      | 0.00%             | 2032-03-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CD5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     92000 | PA      | $94525.42     | 0.01%             | 2029-05-19      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     31000 | PA      | $32558.24     | 0.00%             | 2034-05-19      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    415000 | PA      | $417396.95    | 0.06%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    358000 | PA      | $374161.39    | 0.06%             | 2029-11-17      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CL7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    540000 | PA      | $524887.65    | 0.08%             | 2036-11-14      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                                                             | Seadrill Finance Ltd                                                            | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |     36000 | PA      | $37229.87     | 0.01%             | 2030-08-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STOR                                                                | Seagate Data Storage Technology Pte Ltd                                         | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     70000 | PA      | $71150.80     | 0.01%             | 2030-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte Ltd                                          | SEAGATE DATA STORAGE TECH                                                       | CUSIP: 81180LAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    194000 | PA      | $215613.15    | 0.03%             | 2032-12-01      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| SEALED AIR/SEALED AIR US                                                         | Sealed Air Corp/Sealed Air Corp US                                              | CUSIP: 812127AB4<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    140000 | PA      | $146807.54    | 0.02%             | 2031-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                           | Sempra                                                                          | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    140000 | PA      | $136743.82    | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                           | Sempra                                                                          | CUSIP: 816851BR9<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102978.20    | 0.02%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE T                                                         | Diversified Healthcare Trust                                                    | CUSIP: 81721MAM1<br>LEI: N/A                  | Long             | DBT              |  | US        |    150000 | PA      | $144139.28    | 0.02%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| SERVICE PROPERTIES TRUST                                                         | Service Properties Trust                                                        | CUSIP: 81761LAC6<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |    128000 | PA      | $133673.22    | 0.02%             | 2031-11-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                         | Service Properties Trust                                                        | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |    206000 | PA      | $204174.46    | 0.03%             | 2032-06-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| SERVICENOW INC                                                                   | ServiceNow Inc                                                                  | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |     72000 | PA      | $62473.62     | 0.01%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                             | Shell Finance US Inc                                                            | CUSIP: 822905AT2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     67000 | PA      | $73685.21     | 0.01%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                             | Shell Finance US Inc                                                            | CUSIP: 822905BB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    178000 | PA      | $113216.40    | 0.02%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                                              | Sherwin-Williams Co/The                                                         | CUSIP: 824348BW5<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1406971.19   | 0.21%             | 2035-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807CL9<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    700000 | PA      | $634070.51    | 0.09%             | 2042-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807CZ8<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    700000 | PA      | $567678.88    | 0.08%             | 2046-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |    330000 | PA      | $221128.46    | 0.03%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259AY6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    102000 | PA      | $88230.00     | 0.01%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259BF6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    140000 | PA      | $108325.00    | 0.02%             | 2032-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91490.85     | 0.01%             | 2033-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                         | Snap Inc                                                                        | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    239000 | PA      | $225680.58    | 0.03%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SOTERA HEALTH HLDGS LLC                                                          | Sotera Health Holdings LLC                                                      | CUSIP: 83600WAE9<br>LEI: 549300OVT7MBXFLOFU20 | Long             | DBT              | CORP              | US        |    111000 | PA      | $114660.00    | 0.02%             | 2031-06-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    370000 | PA      | $276925.09    | 0.04%             | 2048-03-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $68586.56     | 0.01%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18563.53     | 0.00%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    240000 | PA      | $245506.68    | 0.04%             | 2031-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CALIF GAS CO                                                            | Southern California Gas Co                                                      | CUSIP: 842434CY6<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97293.44     | 0.01%             | 2053-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                 | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    350000 | PA      | $349333.59    | 0.05%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                 | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    185000 | PA      | $191702.89    | 0.03%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| SOUTHERN COPPER CORP                                                             | Southern Copper Corp                                                            | CUSIP: 84265VAA3<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    900000 | PA      | $1025145.00   | 0.15%             | 2035-07-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    140000 | PA      | $145494.88    | 0.02%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9855.41      | 0.00%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                               | Southwest Gas Corp                                                              | CUSIP: 845011AA3<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79069.31     | 0.01%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                               | Southwest Gas Corp                                                              | CUSIP: 845011AC9<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     85000 | PA      | $77317.92     | 0.01%             | 2030-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                              | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    740000 | PA      | $879911.86    | 0.13%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |    165000 | PA      | $169888.79    | 0.03%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBC8<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |     68000 | PA      | $67868.12     | 0.01%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBD6<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |     67000 | PA      | $68425.02     | 0.01%             | 2030-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBE4<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |     85000 | PA      | $86208.19     | 0.01%             | 2030-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                                                 | StoneX Group Inc                                                                | CUSIP: 861896AA6<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |    228000 | PA      | $236806.96    | 0.04%             | 2031-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| STONEX ESCROW ISSUER LLC                                                         | Stonex Escrow Issuer LLC                                                        | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $90956.43     | 0.01%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STONEPEAK NILE PARENT                                                            | Stonepeak Nile Parent LLC                                                       | CUSIP: 861932AA9<br>LEI: 254900TJV3VAFZD0GU41 | Long             | DBT              | CORP              | US        |    148000 | PA      | $153934.36    | 0.02%             | 2032-03-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Trust                                                | Sunbit Asset Securitization Trust 2025-1                                        | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1670000 | PA      | $1671730.79   | 0.25%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    610000 | PA      | $542047.10    | 0.08%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | Sutter Health                                                                   | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     54000 | PA      | $37398.30     | 0.01%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | Synchrony Financial                                                             | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    277000 | PA      | $282922.64    | 0.04%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES                                                          | System Energy Resources Inc                                                     | CUSIP: 871911AV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    820000 | PA      | $817850.26    | 0.12%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    420000 | PA      | $272595.32    | 0.04%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    685000 | PA      | $656869.93    | 0.10%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75549.10     | 0.01%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    165000 | PA      | $151325.84    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADN2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    550000 | PA      | $489199.83    | 0.07%             | 2055-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADT9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1129258.17   | 0.17%             | 2035-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                                                                   | TR Finance LLC                                                                  | CUSIP: 87268LAA5<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |    800000 | PA      | $798687.78    | 0.12%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                                          | Talen Energy Supply LLC                                                         | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    185000 | PA      | $182938.80    | 0.03%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                                          | Talen Energy Supply LLC                                                         | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    205000 | PA      | $206420.80    | 0.03%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                            | CUSIP: 87485LAD6<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |    200000 | PA      | $208182.60    | 0.03%             | 2029-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                            | CUSIP: 87485LAE4<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |    202000 | PA      | $214070.91    | 0.03%             | 2031-02-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                               | CUSIP: 875127BJ0<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |     35000 | PA      | $24213.13     | 0.00%             | 2051-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                               | CUSIP: 875127BN1<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    755000 | PA      | $757169.67    | 0.11%             | 2035-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                            | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1356962.12   | 0.20%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    975000 | PA      | $983334.62    | 0.15%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                                                                 | Taseko Mines Ltd                                                                | CUSIP: 876511AG1<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |    169000 | PA      | $176192.64    | 0.03%             | 2030-05-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAM0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     70000 | PA      | $71126.51     | 0.01%             | 2034-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAR9<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     91000 | PA      | $98272.45     | 0.01%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     92000 | PA      | $102459.20    | 0.02%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                                                         | Teledyne Technologies Inc                                                       | CUSIP: 879360AE5<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |    676000 | PA      | $618791.47    | 0.09%             | 2031-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TELUS CORP                                                                       | TELUS Corp                                                                      | CUSIP: 87971MCM3<br>LEI: 894500TX134IMF6NW757 | Long             | DBT              | CORP              | CA        |     71000 | PA      | $72480.28     | 0.01%             | 2055-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TELUS CORP                                                                       | TELUS Corp                                                                      | CUSIP: 87971MCR2<br>LEI: 894500TX134IMF6NW757 | Long             | DBT              | CORP              | CA        |     69000 | PA      | $67258.38     | 0.01%             | 2056-06-09      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTL INC                                                              | Somnigroup International Inc                                                    | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |     98000 | PA      | $94241.96     | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                           | CUSIP: 882508BM5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    570000 | PA      | $342078.86    | 0.05%             | 2051-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| TIDEWATER INC                                                                    | Tidewater Inc                                                                   | CUSIP: 88642RAE9<br>LEI: 2549000JA5GRUPLMUH98 | Long             | DBT              | CORP              | US        |    269000 | PA      | $286574.31    | 0.04%             | 2030-07-15      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    250000 | PA      | $187737.03    | 0.03%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                         | TotalEnergies Capital SA                                                        | CUSIP: 89157XAB7<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    440000 | PA      | $422372.37    | 0.06%             | 2054-04-05      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    187000 | PA      | $193013.17    | 0.03%             | 2031-12-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    187000 | PA      | $190715.69    | 0.03%             | 2032-03-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    350000 | PA      | $348133.91    | 0.05%             | 2033-05-31      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15165.47     | 0.00%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40524.20     | 0.01%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                                | Travelers Cos Inc/The                                                           | CUSIP: 89417EAS8<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    140000 | PA      | $133899.92    | 0.02%             | 2053-05-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| TRONOX INC                                                                       | Tronox Inc                                                                      | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |    180000 | PA      | $144126.92    | 0.02%             | 2029-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| TRONOX INC                                                                       | Tronox Inc                                                                      | CUSIP: 897051AD0<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |    156000 | PA      | $155800.21    | 0.02%             | 2030-09-30      | Fixed         | 9.13%                 | No            |                  2 | On Loan: —       |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                           | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9464.41      | 0.00%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                        | CUSIP: 898813AS9<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |     90000 | PA      | $79006.79     | 0.01%             | 2030-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                        | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27991.80     | 0.00%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TURNING POINT BRANDS INC                                                         | Turning Point Brands Inc                                                        | CUSIP: 90041LAG0<br>LEI: 549300IYG00QF0VVP302 | Long             | DBT              | CORP              | US        |     98000 | PA      | $100293.20    | 0.01%             | 2032-03-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| TUTOR PERINI CORP                                                                | Tutor Perini Corp                                                               | CUSIP: 901109AG3<br>LEI: 549300FHXYVPW8LJ6D98 | Long             | DBT              | CORP              | US        |    108000 | PA      | $118309.03    | 0.02%             | 2029-04-30      | Fixed         | 11.88%                | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US Foods Inc                                                                    | CUSIP: 90290MAG6<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     67000 | PA      | $68477.75     | 0.01%             | 2028-09-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US Foods Inc                                                                    | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    125000 | PA      | $129345.93    | 0.02%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US Foods Inc                                                                    | CUSIP: 90290MAJ0<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    152000 | PA      | $151324.20    | 0.02%             | 2033-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                 | UWM Holdings LLC                                                                | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    171000 | PA      | $161282.39    | 0.02%             | 2030-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                 | UWM Holdings LLC                                                                | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $45534.28     | 0.01%             | 2031-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                            | Uber Technologies Inc                                                           | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    115000 | PA      | $105893.86    | 0.02%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| UMASS MEM HEALTH CARE                                                            | UMass Memorial Health Care Obligated Group                                      | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     42000 | PA      | $38557.19     | 0.01%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                | Union Electric Co                                                               | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    230000 | PA      | $177584.61    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                | Union Electric Co                                                               | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9451.64      | 0.00%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    100000 | PA      | $97000.00     | 0.01%             | 2040-01-11      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    340000 | PA      | $250240.00    | 0.04%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    535000 | PA      | $319127.50    | 0.05%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    630000 | PA      | $661500.00    | 0.10%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| UNITED PARCEL SERVICE                                                            | United Parcel Service Inc                                                       | CUSIP: 911312BW5<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    280000 | PA      | $262248.82    | 0.04%             | 2050-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                          | United Rentals North America Inc                                                | CUSIP: 911365BS2<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     57000 | PA      | $55425.64     | 0.01%             | 2033-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    155000 | PA      | $160093.19    | 0.02%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                      | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    965000 | PA      | $986084.98    | 0.15%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                           | U.S. Treasury Bills                                                             | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      2000 | PA      | $1995.56      | 0.00%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bills                                                             | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   7650000 | PA      | $7622134.88   | 1.13%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bills                                                             | CUSIP: 912797UD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5200000 | PA      | $5021203.93   | 0.75%             | 2027-03-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3072031.24   | 0.46%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4200000 | PA      | $3291257.80   | 0.49%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $2347910.15   | 0.35%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11700000 | PA      | $8091281.25   | 1.20%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13200000 | PA      | $11975906.18  | 1.78%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Notes                                           | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7370870 | PA      | $6929317.15   | 1.03%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    201000 | PA      | $201659.53    | 0.03%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $2788953.13   | 0.41%             | 2028-05-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30542578.20  | 4.54%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7100000 | PA      | $7260859.38   | 1.08%             | 2029-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3770000 | PA      | $3674130.07   | 0.55%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $2016562.50   | 0.30%             | 2029-11-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    195000 | PA      | $194922.94    | 0.03%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KB5<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |    120000 | PA      | $78634.70     | 0.01%             | 2050-05-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KD1<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |     85000 | PA      | $53304.05     | 0.01%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                                                            | Universal Health Services Inc                                                   | CUSIP: 913903BC3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |    645000 | PA      | $615811.55    | 0.09%             | 2034-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| University of California                                                         | UNIV OF CALIFORNIA REVENUES                                                     | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    115000 | PA      | $93805.36     | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                       | CUSIP: 91412NBD1<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |    148000 | PA      | $115663.06    | 0.02%             | 2045-04-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: —       |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                       | CUSIP: 91412NBE9<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |    157000 | PA      | $100848.56    | 0.01%             | 2050-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455UH1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     38000 | PA      | $27553.51     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     67000 | PA      | $48581.18     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455VJ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    238000 | PA      | $196055.09    | 0.03%             | 2047-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                                         | University of Southern California                                               | CUSIP: 914886AF3<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    190000 | PA      | $121857.10    | 0.02%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                                         | University of Southern California                                               | CUSIP: 914886AH9<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9134.31      | 0.00%             | 2053-10-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: —       |
| Board of Regents of the University of Texas System                               | UNIV OF TEXAS TX UNIV REVENUES                                                  | CUSIP: 91514AKD6<br>LEI: TEHUYFNKZR6XVWLGEU86 | Long             | DBT              | MUN               | US        |    105000 | PA      | $63739.06     | 0.01%             | 2049-08-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| University of Virginia                                                           | UNIV OF VIRGINIA VA UNIV REVENUES                                               | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     60000 | PA      | $36358.07     | 0.01%             | 2051-11-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | Unum Group                                                                      | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    410000 | PA      | $301792.07    | 0.04%             | 2051-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2025-3                                             | CUSIP: 91684FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $900591.03    | 0.13%             | 2035-09-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                                         | USA Compression Partners LP / USA Compression Finance Corp                      | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     91000 | PA      | $93109.03     | 0.01%             | 2029-03-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| VFH PARENT / VALOR CO                                                            | VFH Parent LLC / Valor Co-Issuer Inc                                            | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    209000 | PA      | $214749.17    | 0.03%             | 2031-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                                      | Valaris Ltd                                                                     | CUSIP: 91889FAC5<br>LEI: 5299008BQ9IREYWBTS30 | Long             | DBT              | CORP              | BM        |    335000 | PA      | $347123.99    | 0.05%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| VELOCITY COM CAP LLC                                                             | Velocity Commercial Capital LLC                                                 | CUSIP: 92259RAE5<br>LEI: 549300TA4MQM8WN2XG31 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84938.15     | 0.01%             | 2031-02-15      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | Ventas Realty LP                                                                | CUSIP: 92277GBA4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |    670000 | PA      | $657425.40    | 0.10%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | Ventas Realty LP                                                                | CUSIP: 92277GBB2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |    280000 | PA      | $281541.08    | 0.04%             | 2032-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                            | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     54000 | PA      | $57194.21     | 0.01%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     41000 | PA      | $41931.56     | 0.01%             | 2028-06-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83198.03     | 0.01%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     83000 | PA      | $89141.00     | 0.01%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| VERISIGN INC                                                                     | VeriSign Inc                                                                    | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |   2332000 | PA      | $2087887.92   | 0.31%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                     | VeriSign Inc                                                                    | CUSIP: 92343EAQ5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |    225000 | PA      | $226621.45    | 0.03%             | 2032-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    910000 | PA      | $911122.16    | 0.14%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VHC1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    812000 | PA      | $809038.81    | 0.12%             | 2037-07-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53497.02     | 0.01%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                             | Verisk Analytics Inc                                                            | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   1056000 | PA      | $1050180.08   | 0.16%             | 2029-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VERMILION ENERGY INC                                                             | Vermilion Energy Inc                                                            | CUSIP: 923725AE5<br>LEI: 8945009D1HGCJC8M8A68 | Long             | DBT              | CORP              | CA        |    157000 | PA      | $158364.30    | 0.02%             | 2033-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| VERSANT MEDIA GROUP INC                                                          | Versant Media Group Inc                                                         | CUSIP: 925283AA1<br>LEI: 254900D2Q5F5F229PU30 | Long             | DBT              | CORP              | US        |    327000 | PA      | $334652.13    | 0.05%             | 2031-01-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| VIASAT INC                                                                       | Viasat Inc                                                                      | CUSIP: 92552VAN0<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     95000 | PA      | $93868.95     | 0.01%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                                                       | Viasat Inc                                                                      | CUSIP: 92552VAR1<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |    329000 | PA      | $325120.45    | 0.05%             | 2031-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AE3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     77000 | PA      | $68792.12     | 0.01%             | 2052-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    930000 | PA      | $938550.06    | 0.14%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    610000 | PA      | $607153.25    | 0.09%             | 2035-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                               | Viking Cruises Ltd                                                              | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     81000 | PA      | $79972.26     | 0.01%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804FZ2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    750000 | PA      | $742593.29    | 0.11%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GC2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    190000 | PA      | $127475.05    | 0.02%             | 2049-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GQ1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    195000 | PA      | $179618.88    | 0.03%             | 2054-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38291.34     | 0.01%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GW8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61859.35     | 0.01%             | 2055-09-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GY4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38584.25     | 0.01%             | 2056-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                         | Visa Inc                                                                        | CUSIP: 92826CAJ1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    385000 | PA      | $293300.32    | 0.04%             | 2047-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| WAKEMED                                                                          | WakeMed                                                                         | CUSIP: 931108AA2<br>LEI: 549300RAN6BZ6UMO7Z44 | Long             | DBT              | CORP              | US        |     81000 | PA      | $54858.88     | 0.01%             | 2052-10-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                     | CUSIP: 931142EZ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    200000 | PA      | $172441.18    | 0.03%             | 2052-09-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                     | CUSIP: 931142FP3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1617289.93   | 0.24%             | 2035-04-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS                                                             | BlackRock Cash Funds: Treasury, SL Agency Shares                                | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    283314 | NS      | $283371.03    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON GAS LIGHT CO                                                          | Washington Gas Light Co                                                         | CUSIP: 93884PDY3<br>LEI: DL22T1SB4DUBS063O841 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21041.20     | 0.00%             | 2049-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                           | CUSIP: 94106BAA9<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    305000 | PA      | $286990.95    | 0.04%             | 2030-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: —       |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                           | CUSIP: 94106BAJ0<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |   1070000 | PA      | $1091729.32   | 0.16%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| WASTE MANAGEMENT INC                                                             | Waste Management Inc                                                            | CUSIP: 94106LBY4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    915000 | PA      | $935869.47    | 0.14%             | 2031-07-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                     | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    218000 | PA      | $222530.91    | 0.03%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                     | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    155000 | PA      | $161376.24    | 0.02%             | 2030-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| WEATHERFORD INTERNATIONA                                                         | Weatherford International Ltd                                                   | CUSIP: 947075AW7<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |    170000 | PA      | $173700.73    | 0.03%             | 2033-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75478.31     | 0.01%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1374000 | PA      | $1270920.57   | 0.19%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    535000 | PA      | $530377.93    | 0.08%             | 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        |    360000 | PA      | $317157.51    | 0.05%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     70000 | PA      | $52552.72     | 0.01%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    433000 | PA      | $397574.41    | 0.06%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    840000 | PA      | $843486.66    | 0.13%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    409000 | PA      | $406908.41    | 0.06%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    308000 | PA      | $320779.91    | 0.05%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    180000 | PA      | $194895.70    | 0.03%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106884.60    | 0.02%             | 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        |    775000 | PA      | $771572.40    | 0.11%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | Welltower OP LLC                                                                | CUSIP: 95041AAF5<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |   1140000 | PA      | $1140351.26   | 0.17%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                  | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     65000 | PA      | $67686.55     | 0.01%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: —       |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                  | CUSIP: 958667AJ6<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    485000 | PA      | $476965.44    | 0.07%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                                                           | Westinghouse Air Brake Technologies Corp                                        | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    310000 | PA      | $318852.50    | 0.05%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-4                                    | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1080000 | PA      | $1091220.77   | 0.16%             | 2028-11-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-1                                    | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2880000 | PA      | $2926101.89   | 0.43%             | 2028-11-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-2                                    | CUSIP: 96042YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2030000 | PA      | $2070514.13   | 0.31%             | 2030-04-15      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-1                                    | CUSIP: 96043RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1360000 | PA      | $1384991.09   | 0.21%             | 2029-10-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                             | Westpac Banking Corp                                                            | CUSIP: 961214EQ2<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    120000 | PA      | $88910.31     | 0.01%             | 2040-11-16      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| BlackRock Funds III                                                              | BlackRock Cash Funds: Institutional, SL Agency Shares                           | CUSIP: 066922519<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |  21485781 | NS      | $21490078.42  | 3.19%             |  |  |  | No            |                  1 | On Loan: No      |
| EDCON HOLDCO 1                                                                   | EDCON HOLDCO 1                                                                  | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |   1643590 | NS      | $0.97         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| EDCON HOLDCO 2                                                                   | EDCON HOLDCO 2                                                                  | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |    163560 | NS      | $0.10         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| WHIRLPOOL CORP                                                                   | Whirlpool Corp                                                                  | CUSIP: 963320AV8<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |     48000 | PA      | $31625.63     | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                   | Whirlpool Corp                                                                  | CUSIP: 963320AX4<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |     48000 | PA      | $31917.22     | 0.00%             | 2050-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| WILLIS NORTH AMERICA INC                                                         | Willis North America Inc                                                        | CUSIP: 970648AN1<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    940000 | PA      | $912416.88    | 0.14%             | 2054-03-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                                                         | Wisconsin Electric Power Co                                                     | CUSIP: 976656CN6<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20083.34     | 0.00%             | 2032-09-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| WISCONSIN POWER & LIGHT                                                          | Wisconsin Power and Light Co                                                    | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91361.24     | 0.01%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE                                                         | Wisconsin Public Service Corp                                                   | CUSIP: 976843BM3<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |     85000 | PA      | $58139.75     | 0.01%             | 2049-09-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES                                   | BlackRock Cash Funds: Treasury, SL Agency Shares                                | CUSIP: 066922477<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |    100000 | NS      | $100000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WULF COMPUTE LLC                                                                 | WULF Compute LLC                                                                | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $232469.60    | 0.03%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| WYNN MACAU LTD                                                                   | Wynn Macau Ltd                                                                  | CUSIP: 98313RAL0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     60000 | PA      | $58350.00     | 0.01%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BAV2<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    900000 | PA      | $894357.98    | 0.13%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BAX8<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     50000 | PA      | $34879.29     | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BBA7<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102073.21    | 0.02%             | 2033-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| YALE UNIVERSITY                                                                  | Yale University                                                                 | CUSIP: 98459LAC7<br>LEI: 9SFB6DIM0FRWV0EV8S84 | Long             | DBT              | CORP              | US        |    272000 | PA      | $159881.14    | 0.02%             | 2050-04-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ZEGONA FINANCE PLC                                                               | Zegona Finance PLC                                                              | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |    294000 | PA      | $307979.11    | 0.05%             | 2029-07-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: —       |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PAX0<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |    160000 | PA      | $163673.39    | 0.02%             | 2028-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PBA9<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50146.18     | 0.01%             | 2027-02-19      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ZIONS BANCORP NA                                                                 | Zions Bancorp NA                                                                | CUSIP: 98971DAE0<br>LEI: 8WH0EE09O9V05QJZ3V89 | Long             | DBT              | CORP              | US        |    760000 | PA      | $754325.03    | 0.11%             | 2029-02-09      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | Zoetis Inc                                                                      | CUSIP: 98978VAT0<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    100000 | PA      | $64381.91     | 0.01%             | 2050-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND FUTURE JUN26                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -22 | NC      | $4903.07      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US LONG BOND(CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         2 | NC      | $-7959.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       217 | NC      | $-767596.71   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -40 | NC      | $-22676.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                                              | AUST 10Y BOND FUT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -47 | NC      | $-17012.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                                         | CAN 10YR BOND FUT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |        11 | NC      | $4542.12      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       678 | NC      | $-882306.07   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       280 | NC      | $-9408.51     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | LONG GILT FUTURE JUN26                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -8 | NC      | $-6825.86     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        60 | NC      | $-177497.08   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.469000 18-NOV-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    430000 | OU      | $-1980.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.457000 22-JAN-2036 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    850000 | OU      | $-3047.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.464500 23-JAN-2036 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   1690000 | OU      | $-6964.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.479500 26-JAN-2036 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   1690000 | OU      | $-8887.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.891200 28-JAN-2036 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2500000 | OU      | $36071.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.493200 29-JAN-2036 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   2530000 | OU      | $-15354.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.476700 11-FEB-2036 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   1520000 | OU      | $-6564.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.112150 15-FEB-2036 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    880000 | OU      | $40915.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.104310 15-FEB-2036 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    610000 | OU      | $28902.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.985810 15-FEB-2036 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    250000 | OU      | $6184.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.814900 12-FEB-2036 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    745000 | OU      | $16499.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.847170 12-FEB-2036 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    745000 | OU      | $14090.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.096450 15-FEB-2036 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    300000 | OU      | $14481.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.978880 15-FEB-2036 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    340000 | OU      | $8655.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.978600 15-FEB-2036 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    680000 | OU      | $17331.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.418750 20-FEB-2036 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |   1290000 | OU      | $666.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.426000 23-FEB-2036 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    110000 | OU      | $-29.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.962250 15-FEB-2036 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    670000 | OU      | $18213.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.434230 16-SEP-2031 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  55483124 | OU      | $-516842.59   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.307680 16-SEP-2028 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 130960825 | OU      | $655404.96    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.712410 16-SEP-2036 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3665000 | OU      | $-56574.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.970490 16-SEP-2056 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    665000 | OU      | $-19074.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.620940 16-SEP-2028 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  18530000 | OU      | $-121389.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.641820 16-SEP-2056 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  22856632 | OU      | $829623.28    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 3.029760 16-SEP-2056 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8066570 | OU      | $139573.57    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.979340 16-SEP-2031 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7818750 | OU      | $-115981.14   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.959360 16-SEP-2036 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  47113112 | OU      | $-716065.71   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.737230 16-SEP-2031 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  61370000 | OU      | $648835.93    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.875980 16-SEP-2028 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  18357188 | OU      | $180282.14    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.262730 16-SEP-2036 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  45146597 | OU      | $-1038786.95  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.867690 16-SEP-2031 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1720000 | OU      | $-6325.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 3.031810 16-SEP-2036 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    830000 | OU      | $6693.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.680660 16-SEP-2028 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  22771220 | OU      | $47117.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.168030 16-SEP-2056 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1800000 | OU      | $-8399.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.985130 16-SEP-2036 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3730000 | OU      | $25476.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.740700 16-SEP-2031 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   9595252 | OU      | $-42430.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.117480 16-SEP-2056 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1780000 | OU      | $6884.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.906190 16-SEP-2036 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3720000 | OU      | $1432.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.431700 02-APR-2036 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    320000 | OU      | $-247.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.824980 16-SEP-2056 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    300000 | OU      | $-407.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.937840 16-SEP-2028 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  18170000 | OU      | $7912.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.965840 16-SEP-2031 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7625000 | OU      | $-11509.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 3.130340 16-SEP-2056 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    140000 | OU      | $-707.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 3.148430 16-SEP-2036 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    440000 | OU      | $1505.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 3.148430 16-SEP-2036 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    310000 | OU      | $1060.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.EM.45.V1)                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  13140000 | OU      | $-550352.76   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.46.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  99541622 | OU      | $-1751361.03  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.46.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   4577078 | OU      | $-1130.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (ITRAXX.XO.45.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  15442130 | OU      | $-1146266.48  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.46.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  23691843 | OU      | $-1176092.64  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

**Name of Applicant:** Master Investment Portfolio II

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer