# EDGAR Filing Document

**Accession Number:** 0000080249
**File Stem:** 0001099263-26-004380
**Filing Date:** 2026-4
**Character Count:** 702561
**Document Hash:** 53009cc020dec589b6b174589050f3f6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-004380.hdr.sgml**: 20260427

**ACCESSION NUMBER**: 0001099263-26-004380

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260427

**DATE AS OF CHANGE**: 20260427

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price New Income Fund, Inc.
- **CENTRAL INDEX KEY:** 0000080249

**ORGANIZATION NAME:**
- **EIN:** 520980581
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02396
- **FILM NUMBER:** 26899548

**BUSINESS ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRICE T ROWE NEW INCOME FUND INC
- **DATE OF NAME CHANGE:** 19940727

## Series and Classes Contracts Data

### T. Rowe Price New Income Fund, Inc. (Series ID: S000002136)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000005529 | T. Rowe Price New Income Fund, Inc.         | PRCIX           |
| C000005530 | T. Rowe Price New Income Fund-Advisor Class | PANIX           |
| C000005531 | T. Rowe Price New Income Fund-R Class       | RRNIX           |
| C000159679 | T. Rowe Price New Income Fund-I Class       | PRXEX           |
| C000219349 | T. Rowe Price New Income Fund-Z Class       | TRVZX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE NEW INCOME FUND, INC.

- **b. Investment Company Act file number:** 811-02396

- **c. CIK number of Registrant:** 0000080249

- **d. LEI of Registrant:** 549300KL6GYU8HTJ4G78

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

  - **Street Address 1:** 1307 Point Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

  - **Telephone number:** 410-345-2000

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

- **a. Name of Series:** T. Rowe Price New Income Fund, Inc.

- **b. EDGAR series identifier (if any):** S000002136

- **c. LEI of Series:** 5F373D85WF2X2XQOCV26

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

- **a. Date of fiscal year-end:** 2026-05-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $18417704006.14

**Total Liabilities:** $1352601629.28

**Net Assets:** $17065102376.86

**Delayed Delivery Securities:** $57909876.30

**Stand-by Commitments:** $997662250.99

**Cash Not Reported:** $221005.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7246.353616 | **1-Year:** -495961.255295 | **5-Year:** -2304467.333910 | **10-Year:** -1872776.883467 | **30-Year:** -802211.174299

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

- **3-Month:** -587.692676 | **1-Year:** -28113.201335 | **5-Year:** -130249.868058 | **10-Year:** -61871.282217 | **30-Year:** -3320.711140

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000005529 | 0.01%                | 0.11%                | 1.46%                |
| Class ID C000005530 | -0.04%               | 0.07%                | 1.42%                |
| Class ID C000005531 | -0.17%               | 0.06%                | 1.41%                |
| Class ID C000159679 | -0.11%               | 0.12%                | 1.46%                |
| Class ID C000219349 | -0.08%               | 0.15%                | 1.49%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $13572941.35             | $-86108163.96                              |
| Month 2  | $11908544.40             | $-43580928.35                              |
| Month 3  | $-2672614.57             | $201509899.20                              |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US Agg Total Return Value Unhedged USD (Returns)

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 3M COMPANY                                      | 3M CO                                                               | CUSIP: 88579YBR1<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |   17335000 | PA      | $17903886.58   | 0.10%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| MORGN 2019-5A BR2 144A                          | 522 FUNDING CLO 2019-5 LTD                                          | CUSIP: 33829WAN9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   16085000 | PA      | $16085000.00   | 0.09%             | 2035-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE TL B 1L BANKDEBT                     | AADVANTAGE LOYALTY IP                                               | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    6446486 | PA      | $6432625.84    | 0.04%             | 2028-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                             | ABBOTT LABORATORIES                                                 | CUSIP: 002824BU3<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   14780000 | PA      | $14771788.46   | 0.09%             | 2036-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                             | ABBOTT LABORATORIES                                                 | CUSIP: 002824BW9<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   17055000 | PA      | $17119974.91   | 0.10%             | 2056-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                      | ABBVIE INC                                                          | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   16570000 | PA      | $16270480.18   | 0.10%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ALC 2026-3A A1 144A                             | ABRY LIQUID CREDIT CLO 2026-3 LTD                                   | CUSIP: 00384AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18055000 | PA      | $18055000.00   | 0.11%             | 2039-04-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENT HO 144A                   | ABU DHABI DEVELOPMENTAL HOLDING CO PJSC                             | CUSIP: 00402AAB7<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    9950000 | PA      | $10205291.78   | 0.06%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENT HO 144A                   | ABU DHABI DEVELOPMENTAL HOLDING CO PJSC                             | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |   18840000 | PA      | $19067400.30   | 0.11%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS 144A                         | ADVANCE AUTO PARTS INC                                              | CUSIP: 00751YAK2<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |    2045000 | PA      | $2096665.41    | 0.01%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS 144A                         | ADVANCE AUTO PARTS INC                                              | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |    6475000 | PA      | $6634878.56    | 0.04%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| AEDIFICA SA                                     | AEDIFICA SA                                                         | CUSIP: BR2819927<br>LEI: 529900DTKNXL0AXQFN28 | Long             | DBT              | CORP              | BE        |    3800000 | PA      | $3925414.48    | 0.02%             | 2031-09-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                    | AES CORP/THE                                                        | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   24580000 | PA      | $25621292.91   | 0.15%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AETHON III SR 2L PP                             | AETHON III SR 2L PP                                                 | CUSIP: 000000000<br>LEI: 5493003Y9J3720W2G906 | Long             | DBT              | CORP              | US        |    4520000 | PA      | $4486100.00    | 0.03%             | 2027-01-10      | Variable      | 10.08%                | Yes           |                  3 | On Loan: No      |
| AFFRM 2025-X2 A 144A                            | AFFIRM ASSET SECURITIZATION TRUST 2025-X2                           | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15927336 | PA      | $15945596.42   | 0.09%             | 2030-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AFRMT 2026-1A A 144A                            | AFFIRM MASTER TRUST                                                 | CUSIP: 00833BAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9145000 | PA      | $9185463.88    | 0.05%             | 2034-02-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-2A A 144A                            | AFFIRM MASTER TRUST                                                 | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26955000 | PA      | $27144685.03   | 0.16%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-3A A 144A                            | AFFIRM MASTER TRUST SERIES 2025-3                                   | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18310000 | PA      | $18443355.39   | 0.11%             | 2034-10-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AGL 2021-10A A1R2 144A                          | AGL CLO 10 LTD                                                      | CUSIP: 00119YAN3<br>LEI: 549300AEMLN0HO8ST474 | Long             | ABS-CBDO         | CORP              | KY        |   33550000 | PA      | $33550000.00   | 0.20%             | 2039-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| AGL 2021-13A BR 144A                            | AGL CLO 13 LTD                                                      | CUSIP: 00120JAN3<br>LEI: 254900DIJ0G5TXNJMM06 | Long             | ABS-CBDO         | CORP              | KY        |    4860000 | PA      | $4867187.94    | 0.03%             | 2034-10-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| AH PARENT,INC. SER A PREFERRED SHARES PP        | AH PARENT,INC. SER A PREFERRED SHARES PP                            | CUSIP: TC3I9NQ04<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       1745 | NS      | $1677643.00    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ALERA GROUP INC TL B 1L USD BANKDEBT            | ALERA GROUP INC                                                     | CUSIP: 01451PAE6<br>LEI: 2549003D76KZAKICNX26 | Long             | LON              | CORP              | US        |    4528650 | PA      | $4301583.49    | 0.03%             | 2032-05-30      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                        | ALEXANDRIA REAL ESTATE EQUITIES INC                                 | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    3101000 | PA      | $2661649.87    | 0.02%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                        | ALEXANDRIA REAL ESTATE EQUITIES INC                                 | CUSIP: 015271BE8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    4850000 | PA      | $4980298.57    | 0.03%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| ALEXANDRIA REAL ESTATE E                        | ALEXANDRIA REAL ESTATE EQUITIES INC                                 | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2525000 | PA      | $2538153.70    | 0.01%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDI TL B 1L USD BANKDEBT | ALLIANT HOLDINGS INTERMEDI                                          | CUSIP: 01881UAN5<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |   11760513 | PA      | $11474615.30   | 0.07%             | 2031-09-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER 144A                   | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER      | CUSIP: 01883LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2489116.49    | 0.01%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER 144A                   | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER      | CUSIP: 01883LAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1705000 | PA      | $1717014.20    | 0.01%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER 144A                   | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER      | CUSIP: 01883LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3625000 | PA      | $3664265.04    | 0.02%             | 2028-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ABCLN 2025-A C 144A                             | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A                    | CUSIP: 02007G5F6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2287597 | PA      | $2303703.24    | 0.01%             | 2033-06-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| ABCLN 2025-B A2 144A                            | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-B                    | CUSIP: 02007G6N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13567474 | PA      | $13641546.66   | 0.08%             | 2033-09-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC 144A                       | ALPHA GENERATION LLC                                                | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |     705000 | PA      | $733165.81     | 0.00%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                    | ALPHABET INC                                                        | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   17077000 | PA      | $17463443.62   | 0.10%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                    | ALPHABET INC                                                        | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   20065000 | PA      | $20391458.97   | 0.12%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                    | ALPHABET INC                                                        | CUSIP: 02079KAX5<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   17350000 | PA      | $17583486.50   | 0.10%             | 2032-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                  | AMAZON.COM INC                                                      | CUSIP: 023135CW4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   25205000 | PA      | $24795550.01   | 0.15%             | 2055-11-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                     | AMEREN CORP                                                         | CUSIP: 023608AS1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |   13355000 | PA      | $13381244.96   | 0.08%             | 2036-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                             | AMERICAN EXPRESS CO                                                 | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    6685000 | PA      | $7075237.61    | 0.04%             | 2036-04-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                           | AMERICAN HOMES 4 RENT LP                                            | CUSIP: 02666TAJ6<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    4645000 | PA      | $4683646.66    | 0.03%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN MEDICAL SYST EU                        | AMERICAN MEDICAL SYSTEMS EUROPE BV                                  | CUSIP: YR6801314<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |   11841000 | PA      | $13833144.34   | 0.08%             | 2034-03-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                             | AMERICAN TOWER CORP                                                 | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    2490000 | PA      | $2558709.50    | 0.01%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                             | AMERICAN TOWER CORP                                                 | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    5955000 | PA      | $6014705.67    | 0.04%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMCAR 2023-1 C                                  | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1                     | CUSIP: 03067BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10995000 | PA      | $11189872.08   | 0.07%             | 2028-12-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ANCHC 2026-22A AR4 144A                         | ANCHORAGE CAPITAL CLO 2026-22 LTD                                   | CUSIP: 03333KAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   25405000 | PA      | $25377588.01   | 0.15%             | 2039-01-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| AP GRANGE HOLDINGS PP                           | AP GRANGE HOLDINGS PP                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16600000 | PA      | $17430000.00   | 0.10%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| APT PIPELINES LTD                               | APA INFRASTRUCTURE LTD                                              | CUSIP: BO4852667<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    3520000 | PA      | $3915296.25    | 0.02%             | 2029-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD 144A                     | APA INFRASTRUCTURE LTD                                              | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    3250000 | PA      | $3313968.34    | 0.02%             | 2034-09-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD 144A                     | APA INFRASTRUCTURE LTD                                              | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    4400000 | PA      | $4536082.86    | 0.03%             | 2044-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| APEXC 2025-13A A1 144A                          | APEX CREDIT CLO 13 LTD                                              | CUSIP: 03754FAA6<br>LEI: 213800YWVGHPCY8VWA19 | Long             | ABS-CBDO         | CORP              | KY        |    8900000 | PA      | $8918832.40    | 0.05%             | 2039-01-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                            | APPALACHIAN POWER CO                                                | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    4090000 | PA      | $4314126.29    | 0.03%             | 2034-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DIN 2023-1A A2 144A                             | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                           | CUSIP: 03789XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7880000 | PA      | $7984584.94    | 0.05%             | 2053-03-05      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| APPLIED SYSTEMS INC TL B2 1L USD BANKDEBT       | APPLIED SYSTEMS INC                                                 | CUSIP: 03827FBD2<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |   24586243 | PA      | $24060343.53   | 0.14%             | 2031-02-24      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| APPLIED SYSTEMS INC TL 2L BANKDEBT              | APPLIED SYSTEMS INC                                                 | CUSIP: 03827FBC4<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |     881635 | PA      | $867308.59     | 0.01%             | 2032-02-23      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| APTIV PLC                                       | APTIV SWISS HOLDINGS LTD                                            | CUSIP: 03835VAJ5<br>LEI: 254900HTTDFIJZ32GX53 | Long             | DBT              | CORP              | JE        |   25510000 | PA      | $16622432.02   | 0.10%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| ARES STRATEGIC INCOME FU 144A                   | ARES STRATEGIC INCOME FUND                                          | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    4180000 | PA      | $4178807.64    | 0.02%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ASPEN INSURANCE HLDG LTD                        | ASPEN INSURANCE HOLDINGS LTD                                        | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |    1830000 | PA      | $1925347.21    | 0.01%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASURION TL B4 2L BANKDEBT                       | ASURION LLC                                                         | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    6705841 | PA      | $6701683.50    | 0.04%             | 2029-01-20      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| ASURION LLC TL B13 1L BANKDEBT                  | ASURION LLC                                                         | CUSIP: 04649VBE9<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    2228305 | PA      | $2221062.63    | 0.01%             | 2030-09-19      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| ASURION LLC/ASURION CO 144A                     | ASURION LLC AND ASURION CO-ISSUER INC                               | CUSIP: 045941AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8523000 | PA      | $8472550.40    | 0.05%             | 2034-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| ASURION LLC/ASURION CO 144A                     | ASURION LLC AND ASURION CO-ISSUER INC                               | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8425000 | PA      | $8863589.18    | 0.05%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                        | AT&T INC                                                            | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    9765000 | PA      | $9824669.55    | 0.06%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                        | AT&T INC                                                            | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    9230000 | PA      | $6282719.88    | 0.04%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH TL B 1L BANKDEBT                   | ATHENAHEALTH GROUP INC                                              | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    4916008 | PA      | $4780817.57    | 0.03%             | 2029-02-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING 144A                      | ATHENE GLOBAL FUNDING                                               | CUSIP: 04685A3Z2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   18015000 | PA      | $18336403.64   | 0.11%             | 2031-07-11      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND 144A                       | ATLAS WAREHOUSE LENDING CO LP                                       | CUSIP: 049463AG7<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |    5490000 | PA      | $5500594.22    | 0.03%             | 2030-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                             | AUD/USD FWD 20260424 MRMDUS33                                       | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | AU        |          1 | NC      | $-1740981.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTL INC                      | AUD/USD FWD 20260424 NOMAGB2L                                       | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | N/A              | DFE              | CORP              | AU        |          1 | NC      | $-616574.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                              | AUD/USD FWD 20260424 UBSWGB2L                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | AU        |          1 | NC      | $4123236.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA                         | AUTOSTRADE PER L'ITALIA SPA                                         | CUSIP: BN4840177<br>LEI: 815600149448CEB9B230 | Long             | DBT              | CORP              | IT        |    9705000 | PA      | $11063318.32   | 0.06%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| XCAP 2024-1A A2 144A                            | AUXILIOR TERM FUNDING 2024-1 LLC                                    | CUSIP: 05335FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     160665 | PA      | $160786.54     | 0.00%             | 2027-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| XCAP 2024-1A A3 144A                            | AUXILIOR TERM FUNDING 2024-1 LLC                                    | CUSIP: 05335FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5580000 | PA      | $5669085.26    | 0.03%             | 2031-07-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| AVALARA TL B 1L BANKDEBT                        | AVALARA INC                                                         | CUSIP: 05338KAD9<br>LEI: 549300Q16CMW239SS315 | Long             | LON              | CORP              | US        |    8207799 | PA      | $7600996.59    | 0.04%             | 2032-03-26      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| AESOP 2025-3A A 144A                            | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                            | CUSIP: 05377RKW3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    4375000 | PA      | $4393735.50    | 0.03%             | 2030-02-20      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC 144A                            | BAE SYSTEMS PLC                                                     | CUSIP: 05523RAL1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   10970000 | PA      | $11530739.09   | 0.07%             | 2034-03-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                        | BANCO BILBAO VIZCAYA ARGENTARIA SA                                  | CUSIP: ZK9151877<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    1500000 | PA      | $1874588.01    | 0.01%             | 2033-09-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER CHILE 144A                      | BANCO SANTANDER CHILE                                               | CUSIP: 05973N2A8<br>LEI: 3YJP8HORPAEXJ80D6368 | Long             | DBT              | CORP              | CL        |   16870000 | PA      | $16971690.04   | 0.10%             | 2030-11-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                              | BANCO SANTANDER SA                                                  | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   10200000 | PA      | $10257128.85   | 0.06%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK51 A5                              | BANK 2025-BNK51                                                     | CUSIP: 06541HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7265000 | PA      | $7616233.69    | 0.04%             | 2067-12-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| BANK HAPOALIM 144A                              | BANK HAPOALIM BM                                                    | CUSIP: DC8043374<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | DBT              | CORP              | IL        |   20690000 | PA      | $20738839.33   | 0.12%             | 2029-07-14      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | BANK OF AMERICA CORP                                                | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   17215000 | PA      | $18032746.44   | 0.11%             | 2036-05-09      | Variable      | 5.46%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                            | BANK OF AMERICA CORP                                                | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   13098000 | PA      | $11805366.59   | 0.07%             | 2032-07-21      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | BANK OF AMERICA CORP                                                | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   24260000 | PA      | $25430374.41   | 0.15%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | BANK OF AMERICA CORP                                                | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   47876000 | PA      | $43424243.20   | 0.25%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR10 AS                             | BANK5 2024-5YR10                                                    | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2590000 | PA      | $2684043.16    | 0.02%             | 2057-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR10 A3                             | BANK5 2024-5YR10                                                    | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5050000 | PA      | $5242812.54    | 0.03%             | 2057-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR12 A3                             | BANK5 2024-5YR12                                                    | CUSIP: 06644XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9095000 | PA      | $9637912.38    | 0.06%             | 2057-12-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                    | BARCLAYS PLC                                                        | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    9700000 | PA      | $10066017.28   | 0.06%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                    | BARCLAYS PLC                                                        | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4810000 | PA      | $5037315.10    | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BABSN 2023-4A A1R 144A                          | BARINGS CLO LTD 2023-IV                                             | CUSIP: 06763MAL9<br>LEI: 5493000KFDA0OKC5JK34 | Long             | ABS-CBDO         | CORP              | KY        |   42250000 | PA      | $42250000.00   | 0.25%             | 2039-01-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                | BAT CAPITAL CORP                                                    | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   18240000 | PA      | $19148862.85   | 0.11%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP TL B 1L BANKDEBT             | BAUSCH + LOMB CORP                                                  | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |    4696400 | PA      | $4694051.80    | 0.03%             | 2031-01-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC 144A                       | BAYER US FINANCE LLC                                                | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |   11085000 | PA      | $11930844.35   | 0.07%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCING TRUST 2024-2F A PP            | BAYVIEW FINANCING TRUST 2024-2F A                                   | CUSIP: 07336XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18040728 | PA      | $18089437.64   | 0.11%             | 2029-11-01      | Variable      | 6.43%                 | Yes           |                  3 | On Loan: No      |
| BVCLN 2024-CAR1 C 144A                          | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                   | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |      87450 | PA      | $87775.79      | 0.00%             | 2031-12-26      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BVCLN 2024-CAR1 A 144A                          | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                   | CUSIP: 07336QAA0<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    4020964 | PA      | $4031872.31    | 0.02%             | 2031-12-26      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BVCLN 2025-EDU1 C 144A                          | BAYVIEW OPPORTUNITY MASTER FUND VII 2025-EDU1 LLC                   | CUSIP: 07337GAC7<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |    6613412 | PA      | $6600849.33    | 0.04%             | 2048-07-27      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY D 144A                          | BBCMS 2019-BWAY MORTGAGE TRUST                                      | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10230000 | PA      | $128284.20     | 0.00%             | 2034-11-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC 144A                       | BEIGNET INVESTOR LLC                                                | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15250000 | PA      | $16194916.83   | 0.09%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BELRON FINANCE 2019 LLC TL B 1L USD BANKDEBT    | BELRON FINANCE 2019 LLC                                             | CUSIP: 08078UAQ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4936270 | PA      | $4934196.51    | 0.03%             | 2031-10-16      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC 144A                      | BELRON UK FINANCE PLC                                               | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |    2810000 | PA      | $2873311.93    | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BSP 2021-23A B1R 144A                           | BENEFIT STREET PARTNERS CLO XXIII LTD                               | CUSIP: 08186VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1505000 | PA      | $1506425.24    | 0.01%             | 2034-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH                        | BETH ISRAEL LAHEY HEALTH INC                                        | CUSIP: 08661UAC0<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |    3225000 | PA      | $3265409.42    | 0.02%             | 2030-07-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| BFLD 2025-5MW A 144A                            | BFLD COMMERCIAL MORTGAGE TRUST 2025-5MW                             | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12340000 | PA      | $12476556.91   | 0.07%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BINOM 2022-INV1 A3 144A                         | BINOM SECURITIZATION TRUST 2022-INV1                                | CUSIP: 090975AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2986025 | PA      | $2939623.54    | 0.02%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                          | BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                   | CUSIP: ZR4791987<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |    8470000 | PA      | $9674185.16    | 0.06%             | 2029-03-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LEND                         | BLACKSTONE SECURED LENDING FUND                                     | CUSIP: 09261XAM4<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    2685000 | PA      | $2665753.25    | 0.02%             | 2029-09-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BLUE OWL GP STAKES IV TL PP                     | BLUE OWL GP STAKES IV TL PP 4.8800 20281030                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   13460000 | PA      | $13460000.00   | 0.08%             | 2028-10-30      | Fixed         | 4.88%                 | Yes           |                  3 | On Loan: No      |
| BOEING CO/THE                                   | BOEING CO/THE                                                       | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   24802000 | PA      | $28458578.57   | 0.17%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                       | BOEING CO/THE                                                       | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9233000 | PA      | $6854501.49    | 0.04%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                       | BOEING CO/THE                                                       | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    8335000 | PA      | $8673935.25    | 0.05%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                   | BOEING CO/THE                                                       | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    6672000 | PA      | $7486136.04    | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                   | BOEING CO/THE                                                       | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    8645000 | PA      | $9443585.61    | 0.06%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BON SECOURS MERCY                               | BON SECOURS MERCY HEALTH INC                                        | CUSIP: 09778PAA3<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |    5370000 | PA      | $5282343.93    | 0.03%             | 2030-06-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY 144A                         | BOSTON GAS CO                                                       | CUSIP: 100743AN3<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    5860000 | PA      | $6014048.34    | 0.04%             | 2053-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BRAZIL                                          | BRAZILIAN GOVERNMENT INTERNATIONAL BOND                             | CUSIP: 105756CF5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   16520000 | PA      | $16912974.56   | 0.10%             | 2033-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HGVGI 2019-A A 144A                             | BRE GRAND ISLANDER TIMESHARE ISSUER 2019-A LLC                      | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2099772 | PA      | $2093494.49    | 0.01%             | 2033-09-26      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BLAST 2026-1 A3                                 | BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2026-1                | CUSIP: 107927AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7230000 | PA      | $7240599.90    | 0.04%             | 2029-12-17      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                          | BRIXMOR OPERATING PARTNERSHIP LP                                    | CUSIP: 11120VAP8<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    2455000 | PA      | $2476094.27    | 0.01%             | 2033-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                          | BRIXMOR OPERATING PARTNERSHIP LP                                    | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   30217000 | PA      | $30178858.01   | 0.18%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                          | BRIXMOR OPERATING PARTNERSHIP LP                                    | CUSIP: 11120VAN3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $3749718.56    | 0.02%             | 2032-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                    | BROADCOM INC                                                        | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    8245000 | PA      | $8348790.13    | 0.05%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                    | BROADCOM INC                                                        | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   13255000 | PA      | $13876885.84   | 0.08%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                        | BURLINGTON NORTHERN SANTA FE LLC                                    | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14325000 | PA      | $14268783.83   | 0.08%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX 2024-GPA3 A 144A                             | BX COMMERCIAL MORTGAGE TRUST 2024-GPA3                              | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15015995 | PA      | $15020687.50   | 0.09%             | 2039-12-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BX 2024-MDHS A 144A                             | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                              | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27742033 | PA      | $27759371.88   | 0.16%             | 2041-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BX 2024-SLCT A 144A                             | BX COMMERCIAL MORTGAGE TRUST 2024-SLCT                              | CUSIP: 12433JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13305000 | PA      | $13288368.75   | 0.08%             | 2042-01-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BX 2026-CSMO A 144A                             | BX COMMERCIAL MORTGAGE TRUST 2026-CSMO                              | CUSIP: 12433LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8240000 | PA      | $8240000.00    | 0.05%             | 2042-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BX 2025-TAIL A 144A                             | BX TRUST 2025-TAIL                                                  | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5460000 | PA      | $5460000.00    | 0.03%             | 2035-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                          | CADENCE DESIGN SYSTEMS INC                                          | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   11765000 | PA      | $11854821.31   | 0.07%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| CAESARS ENTERTAINMENT TL B 1L BANKDEBT          | CAESARS ENTERTAIN INC                                               | CUSIP: 12768EAG1<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |    3343845 | PA      | $3316692.96    | 0.02%             | 2030-02-06      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA 144A                               | CAIXABANK SA                                                        | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   10440000 | PA      | $10831278.85   | 0.06%             | 2036-07-03      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA 144A                               | CAIXABANK SA                                                        | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   19705000 | PA      | $21149556.86   | 0.12%             | 2035-06-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| XQM6 CAN 5YR BOND FUT  JUN26                    | CAN 5YR BOND FUT  JUN26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |       -252 | NC      | $-48410.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CF 2019-CF2 B                                   | CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF2                      | CUSIP: 12528YAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9752000 | PA      | $9102181.33    | 0.05%             | 2052-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                        | CAPITAL ONE FINANCIAL CORP                                          | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3005000 | PA      | $3394799.53    | 0.02%             | 2031-10-30      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                        | CAPITAL ONE FINANCIAL CORP                                          | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3361000 | PA      | $3499729.23    | 0.02%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| CARMX 2022-1 C                                  | CARMAX AUTO OWNER TRUST 2022-1                                      | CUSIP: 14317CAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11975000 | PA      | $11962306.50   | 0.07%             | 2027-11-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-1 B                                  | CARMAX AUTO OWNER TRUST 2024-1                                      | CUSIP: 14318WAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2585000 | PA      | $2642290.58    | 0.02%             | 2029-08-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-3 A3                                 | CARMAX AUTO OWNER TRUST 2024-3                                      | CUSIP: 14319GAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10260000 | PA      | $10372556.30   | 0.06%             | 2029-07-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-4 A4                                 | CARMAX AUTO OWNER TRUST 2025-4                                      | CUSIP: 14320HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4135000 | PA      | $4168701.49    | 0.02%             | 2031-06-16      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-4 A3                                 | CARMAX AUTO OWNER TRUST 2025-4                                      | CUSIP: 14320HAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6410000 | PA      | $6441010.94    | 0.04%             | 2030-12-16      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| CMXS 2024-A A3                                  | CARMAX SELECT RECEIVABLES TRUST 2024-A                              | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5115000 | PA      | $5156377.28    | 0.03%             | 2028-11-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| CRVNA 2022-N1 C 144A                            | CARVANA AUTO RECEIVABLES TRUST 2022-N1                              | CUSIP: 14686GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     484655 | PA      | $480438.54     | 0.00%             | 2028-12-11      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| CRVNA 2022-P1 C                                 | CARVANA AUTO RECEIVABLES TRUST 2022-P1                              | CUSIP: 14688DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13955000 | PA      | $13813947.05   | 0.08%             | 2028-04-10      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-P2 A4                                | CARVANA AUTO RECEIVABLES TRUST 2024-P2                              | CUSIP: 14688PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13890000 | PA      | $14253954.11   | 0.08%             | 2030-06-10      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P3 B                                 | CARVANA AUTO RECEIVABLES TRUST 2025-P3                              | CUSIP: 14688AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3080000 | PA      | $3120567.60    | 0.02%             | 2031-10-10      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P4 A4                                | CARVANA AUTO RECEIVABLES TRUST 2025-P4                              | CUSIP: 14689AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24990000 | PA      | $25300223.36   | 0.15%             | 2031-11-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P4 B                                 | CARVANA AUTO RECEIVABLES TRUST 2025-P4                              | CUSIP: 14689AAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5785000 | PA      | $5888121.10    | 0.03%             | 2032-01-12      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                               | CBRE SERVICES INC                                                   | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    4575000 | PA      | $4663574.17    | 0.03%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                               | CBRE SERVICES INC                                                   | CUSIP: 12505BAL4<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    3545000 | PA      | $3586630.48    | 0.02%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP 144A                     | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                        | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3580511.68    | 0.02%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP 144A                     | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                        | CUSIP: 1248EPCU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3605000 | PA      | $3686401.03    | 0.02%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP 144A                     | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                        | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3330000 | PA      | $2974847.43    | 0.02%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS                                        | CDX HY S45 V2 PAY 102 4/15/2026 BARC                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-897868.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                        | CDX HY S45 V2 PAY 107 4/15/2026 BARC                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |          1 | NC      | $4230322.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                              | CDX IG CDST S45 5Y 15-100 12/20/2030                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $15098525.86   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                              | CDX IG CDST S45 5Y 15-100 12/20/2030                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $15690003.35   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CEDF 2022-15A AR 144A                           | CEDAR FUNDING XV CLO LTD                                            | CUSIP: 15032QAL6<br>LEI: 5493002XZZZCKFWQIL45 | Long             | ABS-CBDO         | CORP              | KY        |   17335000 | PA      | $17357743.52   | 0.10%             | 2039-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                        | CELANESE US HOLDINGS LLC                                            | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    2925000 | PA      | $3081362.78    | 0.02%             | 2032-07-15      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                        | CELANESE US HOLDINGS LLC                                            | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    2349000 | PA      | $2508067.00    | 0.01%             | 2030-11-15      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                           | CELLNEX FINANCE CO SA                                               | CUSIP: BN9906411<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |    9200000 | PA      | $9869099.51    | 0.06%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CELULOSA ARAUCO CONSTITU 144A                   | CELULOSA ARAUCO Y CONSTITUCION SA                                   | CUSIP: 151191BR3<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |    1880000 | PA      | $1923685.37    | 0.01%             | 2032-05-05      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                    | CENTENE CORP                                                        | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3340000 | PA      | $3319730.10    | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                    | CENTENE CORP                                                        | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   41038000 | PA      | $40033988.45   | 0.23%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CESKA SPORITELNA AS                             | CESKA SPORITELNA AS                                                 | CUSIP: YX9830838<br>LEI: 9KOGW2C2FCIOJQ7FF485 | Long             | DBT              | CORP              | CZ        |    1500000 | PA      | $1863905.15    | 0.01%             | 2031-07-03      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| CESKA SPORITELNA AS                             | CESKA SPORITELNA AS                                                 | CUSIP: ZF2083797<br>LEI: 9KOGW2C2FCIOJQ7FF485 | Long             | DBT              | CORP              | CZ        |    1500000 | PA      | $1858637.99    | 0.01%             | 2030-01-15      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| CESKA SPORITELNA AS                             | CESKA SPORITELNA AS                                                 | CUSIP: ZI6402112<br>LEI: 9KOGW2C2FCIOJQ7FF485 | Long             | DBT              | CORP              | CZ        |    1500000 | PA      | $1827026.39    | 0.01%             | 2028-03-08      | Variable      | 5.74%                 | No            |                  2 | On Loan: —       |
| CFE FIBRA E 144A                                | CFE FIBRA E                                                         | CUSIP: 125276AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    2221339 | PA      | $2217163.43    | 0.01%             | 2040-09-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARTER NEXT GENERATION TL B 1L USD BANKDEBT    | CHARTER NEXT GENERATION                                             | CUSIP: 16125TAP7<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |   11665277 | PA      | $11650695.00   | 0.07%             | 2030-11-29      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CACLN 2025-1 B 144A                             | CHASE AUTO CREDIT LINKED NOTES SERIES 2025-1                        | CUSIP: 46591HCS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11131747 | PA      | $11226645.30   | 0.07%             | 2033-02-25      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| CHASE 2024-RPL4 A1B 144A                        | CHASE HOME LENDING MORTGAGE TRUST 2024-RPL4                         | CUSIP: 16160NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2232813 | PA      | $2031363.25    | 0.01%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX 144A                      | CHILE ELECTRICITY LUX MPC II SARL                                   | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    7311737 | PA      | $7569351.93    | 0.04%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CHILE                                           | CHILE GOVERNMENT INTERNATIONAL BOND                                 | CUSIP: 168863DS4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   32760000 | PA      | $25893796.25   | 0.15%             | 2041-05-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHORUS LTD                                      | CHORUS LTD                                                          | CUSIP: BY6622025<br>LEI: R7NJHU48LTCIOB9BVU57 | Long             | DBT              | CORP              | NZ        |    3115000 | PA      | $3764837.50    | 0.02%             | 2029-09-07      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHPE LLC SERIES A SR SECURED NOTE PP            | CHPE LLC SR SECURED NOTE PP                                         | CUSIP: 000000000<br>LEI: 2549001XI2F7Q85COR50 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3500000.00    | 0.02%             | 2035-09-30      | Fixed         | 5.51%                 | Yes           |                  3 | On Loan: No      |
| CIFC 2018-1A A1R 144A                           | CIFC FUNDING 2018-I LTD                                             | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   18615000 | PA      | $18664888.20   | 0.11%             | 2038-01-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CIFC 2020-4A BR 144A                            | CIFC FUNDING 2020-IV LTD                                            | CUSIP: 12562RAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10530000 | PA      | $10555861.68   | 0.06%             | 2040-01-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                 | CIGNA GROUP/THE                                                     | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    4650000 | PA      | $4713224.97    | 0.03%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                 | CIGNA GROUP/THE                                                     | CUSIP: 125523DA5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    6505000 | PA      | $6750693.52    | 0.04%             | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| CITADEL SECURITIES LP TL B 1L BANKDEBT          | CITADEL SECURITIES GLOBA                                            | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |   53537619 | PA      | $53359339.11   | 0.31%             | 2031-10-31      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CGCMT 2020-555 D 144A                           | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-555                        | CUSIP: 17328EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5018732.40    | 0.03%             | 2041-12-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| CGCMT 2020-555 C 144A                           | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-555                        | CUSIP: 17328EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8370000 | PA      | $7646753.32    | 0.04%             | 2041-12-10      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | CITIGROUP INC                                                       | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   18900000 | PA      | $19472142.27   | 0.11%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                   | CITIGROUP INC                                                       | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5470000 | PA      | $5562179.58    | 0.03%             | 2036-09-11      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | CITIGROUP INC                                                       | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   10603000 | PA      | $9710005.10    | 0.06%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | CITIGROUP INC                                                       | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   23275000 | PA      | $23904185.33   | 0.14%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CMLTI 2022-INV1 A4B 144A                        | CITIGROUP MORTGAGE LOAN TRUST 2022-INV1                             | CUSIP: 17290FBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6406389 | PA      | $5666828.93    | 0.03%             | 2051-11-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| LA CA ARPTS REV BUILD AMER DIR PMT C            | CITY OF LOS ANGELES DEPARTMENT OF AIRPORTS                          | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2975000 | PA      | $3253267.22    | 0.02%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL TL B 1L BANKDEBT                 | CLARIOS GLOBAL LP                                                   | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |    4563300 | PA      | $4548104.21    | 0.03%             | 2032-01-28      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN 144A                   | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                           | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      67000 | PA      | $68516.49      | 0.00%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN 144A                   | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                           | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     440000 | PA      | $460804.89     | 0.00%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLARUS 2024-1A A2 144A                          | CLARUS CAPITAL FUNDING 2024-1 LLC                                   | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3723362 | PA      | $3735808.35    | 0.02%             | 2032-08-20      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CLEARWATER TL B 1L BANKDEBT                     | CLEARWATER ANALYTICS LLC                                            | CUSIP: 18512EAF9<br>LEI: 894500N8DN2JO5ZDRQ11 | Long             | LON              | CORP              | US        |    5092238 | PA      | $5083733.46    | 0.03%             | 2032-04-21      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| CITRIX TL B2 1L BANKDEBT                        | CLOUD SOFTWARE GRP INC                                              | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |    6645715 | PA      | $6157254.92    | 0.04%             | 2031-03-21      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING 144A                         | CNO GLOBAL FUNDING                                                  | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    3885000 | PA      | $3963907.32    | 0.02%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COFINIMMO                                       | COFINIMMO SA                                                        | CUSIP: BM7559321<br>LEI: 549300TM914CSF6KI389 | Long             | DBT              | CORP              | BE        |    8000000 | PA      | $8512022.85    | 0.05%             | 2030-12-02      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| COGENTRIX TL B 1L BANKDEBT                      | COGENTRIX FINANCE HOLDCO                                            | CUSIP: 19239LAC0<br>LEI: 254900V51P55ABN4UU67 | Long             | LON              | CORP              | US        |    4564341 | PA      | $4551515.67    | 0.03%             | 2032-02-26      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| COLBUN SA 144A                                  | COLBUN SA                                                           | CUSIP: 192714AF0<br>LEI: 5493003VQJLE2QB8IF36 | Long             | DBT              | CORP              | CL        |    5780000 | PA      | $5855671.58    | 0.03%             | 2035-09-11      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COLOMBIA                                        | COLOMBIA GOVERNMENT INTERNATIONAL BOND                              | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   15940000 | PA      | $16615862.56   | 0.10%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COLOMBIA                                        | COLOMBIA GOVERNMENT INTERNATIONAL BOND                              | CUSIP: 195325EV3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    5780000 | PA      | $5747243.35    | 0.03%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIA                                        | COLOMBIA GOVERNMENT INTERNATIONAL BOND                              | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    2940000 | PA      | $2943159.25    | 0.02%             | 2031-01-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| COLT 2025-10 A1F 144A                           | COLT 2025-10 MORTGAGE LOAN TRUST                                    | CUSIP: 12675XAD8<br>LEI: 213800STFGFKQEQSRE63 | Long             | ABS-MBS          | CORP              | US        |    7062832 | PA      | $7069431.98    | 0.04%             | 2070-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO 144A                   | COLUMBIA PIPELINES HOLDING CO LLC                                   | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16685000 | PA      | $17482365.45   | 0.10%             | 2034-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC 144A                   | COMISION FEDERAL DE ELECTRICIDAD                                    | CUSIP: 200447AQ3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    9570000 | PA      | $9688940.21    | 0.06%             | 2034-01-28      | Fixed         | 6.04%                 | No            |                  2 | On Loan: —       |
| COMISION FEDERAL DE ELEC 144A                   | COMISION FEDERAL DE ELECTRICIDAD                                    | CUSIP: 200447AP5<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   26299000 | PA      | $27240955.03   | 0.16%             | 2035-01-24      | Fixed         | 6.45%                 | No            |                  2 | On Loan: —       |
| COMMONSPIRIT HEALTH                             | COMMONSPIRIT HEALTH                                                 | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    1345000 | PA      | $1265260.20    | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CONE 2024-DFW1 A 144A                           | CONE TRUST 2024-DFW1                                                | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17510000 | PA      | $17505295.06   | 0.10%             | 2041-08-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                        | CONSTELLATION ENERGY GENERATION LLC                                 | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   14350000 | PA      | $14426922.40   | 0.08%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| COREBRIDGE GLOB FUNDING 144A                    | COREBRIDGE GLOBAL FUNDING                                           | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    3585000 | PA      | $3614739.91    | 0.02%             | 2032-08-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING 144A                    | COREBRIDGE GLOBAL FUNDING                                           | CUSIP: 00138CAX6<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    3270000 | PA      | $3366061.08    | 0.02%             | 2029-01-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| CORP ANDINA DE FOMENTO 144A                     | CORP ANDINA DE FOMENTO                                              | CUSIP: 219868CM6<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | N/A       |    4020000 | PA      | $4228426.41    | 0.02%             | N/A             | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CORPORACION INMOBILIARIA 144A                   | CORP INMOBILIARIA VESTA SAB DE CV                                   | CUSIP: 21989DAB8<br>LEI: 4469000001BIRIFZJ959 | Long             | DBT              | CORP              | MX        |    5840000 | PA      | $5885962.49    | 0.03%             | 2033-01-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CODELCO INC 144A                                | CORP NACIONAL DEL COBRE DE CHILE                                    | CUSIP: 21987BBQ0<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |   11000000 | PA      | $11284795.53   | 0.07%             | 2037-01-30      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| TRUIST INSURANCE TL B 1L BANKDEBT               | CRC INSURANCE GROUP LLC                                             | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   11736492 | PA      | $11498827.97   | 0.07%             | 2031-05-06      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA 144A                         | CREDIT AGRICOLE SA                                                  | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    9010000 | PA      | $9310540.73    | 0.05%             | 2031-05-27      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA 144A                         | CREDIT AGRICOLE SA                                                  | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   27730000 | PA      | $27945888.87   | 0.16%             | 2033-09-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE 144A                    | CRESCENT ENERGY FINANCE LLC                                         | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    5545000 | PA      | $5510542.22    | 0.03%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H5 A1B 144A                          | CROSS 2025-H5 MORTGAGE TRUST                                        | CUSIP: 227920AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4823581 | PA      | $4865340.45    | 0.03%             | 2070-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS HEALTH CORP                                                     | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    6070000 | PA      | $6226675.18    | 0.04%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS HEALTH CORP                                                     | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   37769000 | PA      | $33666533.29   | 0.20%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS HEALTH CORP                                                     | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    4920000 | PA      | $5175188.99    | 0.03%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS HEALTH CORP                                                     | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   16515000 | PA      | $17216728.85   | 0.10%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CYRUS 2024-2A A2 144A                           | CYRUSONE DATA CENTERS ISSUER I LLC                                  | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32015000 | PA      | $31622665.78   | 0.19%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S 144A                            | DANSKE BANK A/S                                                     | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   12075000 | PA      | $12604627.18   | 0.07%             | 2030-03-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                 | DEERE & CO                                                          | CUSIP: 244199BL8<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |   16960000 | PA      | $18106197.64   | 0.11%             | 2035-01-16      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DEFT 2023-3 C 144A                              | DELL EQUIPMENT FINANCE TRUST 2023-3                                 | CUSIP: 24702EAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4328000 | PA      | $4349772.00    | 0.03%             | 2029-04-23      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-1 C 144A                              | DELL EQUIPMENT FINANCE TRUST 2024-1                                 | CUSIP: 24702GAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $101353.88     | 0.00%             | 2030-03-22      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 B 144A                              | DELL EQUIPMENT FINANCE TRUST 2024-2                                 | CUSIP: 24704EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1465000 | PA      | $1479132.27    | 0.01%             | 2030-08-22      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 A3 144A                             | DELL EQUIPMENT FINANCE TRUST 2024-2                                 | CUSIP: 24704EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11640000 | PA      | $11715096.62   | 0.07%             | 2030-08-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| DEFT 2025-2 B 144A                              | DELL EQUIPMENT FINANCE TRUST 2025-2                                 | CUSIP: 24703VAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     495000 | PA      | $498139.83     | 0.00%             | 2031-03-24      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| DEFT 2025-2 A3 144A                             | DELL EQUIPMENT FINANCE TRUST 2025-2                                 | CUSIP: 24703VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5840000 | PA      | $5879543.81    | 0.03%             | 2031-03-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FORMULA ONE TL B1 1L BANKDEBT                   | DELTA 2 LUX SARL                                                    | CUSIP: 3469959L9<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |    5020000 | PA      | $5023765.00    | 0.03%             | 2031-09-10      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| DEXT 2025-2 A3 144A                             | DEXT ABS 2025-2 LLC                                                 | CUSIP: 252153AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2960000 | PA      | $2969344.42    | 0.02%             | 2036-04-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                          | DIAMONDBACK ENERGY INC                                              | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    9799000 | PA      | $10190392.87   | 0.06%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                          | DIAMONDBACK ENERGY INC                                              | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   30648000 | PA      | $29898171.26   | 0.18%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV HOLDINGS/FING 144A                      | DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     318000 | PA      | $318619.29     | 0.00%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                        | DISCOVERY GLOBAL HOLDINGS INC                                       | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    4940000 | PA      | $3470909.67    | 0.02%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1A A4 144A                           | DLLMT 2026-1 LLC                                                    | CUSIP: 23347JAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     820000 | PA      | $830028.60     | 0.00%             | 2033-09-20      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1A A3 144A                           | DLLMT 2026-1 LLC                                                    | CUSIP: 23347JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3155000 | PA      | $3176470.72    | 0.02%             | 2029-12-20      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DLLST 2024-1A A3 144A                           | DLLST 2024-1 LLC                                                    | CUSIP: 23346HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3807695 | PA      | $3823018.23    | 0.02%             | 2027-08-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DLLST 2024-1A A4 144A                           | DLLST 2024-1 LLC                                                    | CUSIP: 23346HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1630000 | PA      | $1644643.11    | 0.01%             | 2030-04-22      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| DRIVE 2021-3 D 144A                             | DRIVE AUTO RECEIVABLES TRUST 2021-3                                 | CUSIP: 262081AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11994284 | PA      | $11894979.36   | 0.07%             | 2029-06-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| DRIVE 2025-2 B                                  | DRIVE AUTO RECEIVABLES TRUST 2025-2                                 | CUSIP: 262103AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6765000 | PA      | $6784261.98    | 0.04%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| HONK 2021-1A A2 144A                            | DRIVEN BRANDS FUNDING LLC                                           | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13432245 | PA      | $12777555.01   | 0.07%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| DRSLF 2021-93A BR 144A                          | DRYDEN 93 CLO LTD                                                   | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |   11510000 | PA      | $11538464.23   | 0.07%             | 2038-01-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL 144A                   | EAGLE FUNDING LUXCO SARL                                            | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   16640000 | PA      | $16972814.80   | 0.10%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                   | ECHOSTAR CORP                                                       | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    7410000 | PA      | $8092890.63    | 0.05%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1 A1 144A                          | EFMT 2025-INV1                                                      | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |    2849200 | PA      | $2885654.14    | 0.02%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV2 A1 144A                          | EFMT 2025-INV2                                                      | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |    7590592 | PA      | $7662306.61    | 0.04%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV4 A1F 144A                         | EFMT 2025-INV4                                                      | CUSIP: 26846DAD6<br>LEI: 254900KQZEY4W9F3MX66 | Long             | ABS-MBS          | CORP              | US        |    2521334 | PA      | $2523957.27    | 0.01%             | 2070-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM6 A1 144A                          | EFMT 2025-NQM6                                                      | CUSIP: 281916AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4155253 | PA      | $4178901.50    | 0.02%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A A 144A                             | ELARA HGV TIMESHARE ISSUER 2023-A LLC                               | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3723333 | PA      | $3868211.80    | 0.02%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A B 144A                             | ELARA HGV TIMESHARE ISSUER 2023-A LLC                               | CUSIP: 28415AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2989285 | PA      | $3103210.09    | 0.02%             | 2038-02-25      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| ELD 2025-2A A1 144A                             | ELDRIDGE CLO 2025-2 LTD                                             | CUSIP: 28473AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3345000 | PA      | $3354125.16    | 0.02%             | 2039-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT 144A                   | ELEMENT FLEET MANAGEMENT CORP                                       | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    6850000 | PA      | $7028185.19    | 0.04%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                  | ELI LILLY & CO                                                      | CUSIP: 532457DF2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   10010000 | PA      | $10169136.32   | 0.06%             | 2055-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ELISA OYJ                                       | ELISA OYJ                                                           | CUSIP: ZI9670665<br>LEI: 743700TU2S3DXWGU7H32 | Long             | DBT              | CORP              | FI        |    1480000 | PA      | $1808852.76    | 0.01%             | 2029-01-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC TL B 1L BANKDEBT          | ELLUCIAN HOLDINGS INC                                               | CUSIP: 28917XAB6<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |   16251018 | PA      | $15688082.66   | 0.09%             | 2029-10-09      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| ELM20 2022-7A AR2 144A                          | ELMWOOD CLO 20 LTD                                                  | CUSIP: 29002AAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10850000 | PA      | $10867566.15   | 0.06%             | 2039-01-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| EMD FINANCE LLC 144A                            | EMD FINANCE LLC                                                     | CUSIP: 26867LAQ3<br>LEI: 529900C8KS5G529A0B76 | Long             | DBT              | CORP              | US        |   24075000 | PA      | $24373172.71   | 0.14%             | 2032-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| DURAVANT TL B 1L/DD BANKDEBT STRIP              | ENGINEERED MACHINERY HOL                                            | CUSIP: 26658NAT6<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |    3089665 | PA      | $3097389.44    | 0.02%             | 2032-11-26      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| EFF 2024-1 A3 144A                              | ENTERPRISE FLEET FINANCING 2024-1 LLC                               | CUSIP: 29375PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10280000 | PA      | $10482897.39   | 0.06%             | 2030-09-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| EFF 2024-3 A4 144A                              | ENTERPRISE FLEET FINANCING 2024-3 LLC                               | CUSIP: 29375QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4495000 | PA      | $4611361.17    | 0.03%             | 2031-03-20      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| EFF 2024-3 A3 144A                              | ENTERPRISE FLEET FINANCING 2024-3 LLC                               | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6525000 | PA      | $6610025.32    | 0.04%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR TL B 1L BANKDEBT                       | EOC BORROWER LLC                                                    | CUSIP: 26875YAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5442650 | PA      | $5419518.74    | 0.03%             | 2032-03-24      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORP TL B 1L BANKDEBT           | EPICOR SOFTWARE CORP                                                | CUSIP: 29426NAZ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |   11850359 | PA      | $11476717.66   | 0.07%             | 2031-05-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL 144A                   | EQUITABLE AMERICA GLOBAL FUNDING                                    | CUSIP: 29446Q2E2<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    1421000 | PA      | $1414114.01    | 0.01%             | 2032-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ESB FINANCE DAC                                 | ESB FINANCE DAC                                                     | CUSIP: ZH0983853<br>LEI: 635400VCPRSU89DLMZ57 | Long             | DBT              | CORP              | IE        |    1470000 | PA      | $1792527.10    | 0.01%             | 2028-10-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                             | EUR/USD FWD 20260522 MRMDUS33                                       | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4424.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OEM6 EURO-BOBL FUTURE  JUN26                    | EURO-BOBL FUTURE  JUN26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |       -629 | NC      | $-149552.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RXM6 EURO-BUND FUTURE  JUN26                    | EURO-BUND FUTURE  JUN26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |       -359 | NC      | $-140501.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EART 2022-1A D                                  | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-1                          | CUSIP: 30167JAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11814886 | PA      | $11775374.73   | 0.07%             | 2028-06-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| EART 2023-1A D                                  | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1                          | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2906941 | PA      | $2951677.14    | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| EART 2025-5A A3                                 | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-5                          | CUSIP: 30166VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8135000 | PA      | $8170357.96    | 0.05%             | 2029-11-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| EART 2026-1A A3                                 | EXETER AUTOMOBILE RECEIVABLES TRUST 2026-1                          | CUSIP: 30168HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10260000 | PA      | $10284012.50   | 0.06%             | 2030-03-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| ESART 2025-3 A3                                 | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-3                   | CUSIP: 30185FAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11500000 | PA      | $11563476.55   | 0.07%             | 2030-12-16      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA 144A                     | EXPORT-IMPORT BANK OF INDIA                                         | CUSIP: 30218VAC0<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    1800000 | PA      | $1879289.88    | 0.01%             | 2056-01-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNS 435 C24                                     | FANNIE MAE INTEREST STRIP                                           | CUSIP: 31424UAZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19358707 | PA      | $2519876.92    | 0.01%             | 2052-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNS 319 2                                       | FANNIE MAE INTEREST STRIP                                           | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12782 | PA      | $1707.25       | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNS 444 C9                                      | FANNIE MAE INTEREST STRIP                                           | CUSIP: 31424VC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31849954 | PA      | $4849671.22    | 0.03%             | 2052-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNS 444 C10                                     | FANNIE MAE INTEREST STRIP                                           | CUSIP: 31424VC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18339572 | PA      | $3216779.57    | 0.02%             | 2052-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNS 444 C7                                      | FANNIE MAE INTEREST STRIP                                           | CUSIP: 31424VC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28060127 | PA      | $3421597.09    | 0.02%             | 2052-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNS 426 C33                                     | FANNIE MAE INTEREST STRIP                                           | CUSIP: 31422MZV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27233852 | PA      | $2729464.38    | 0.02%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F020638<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  154245000 | PA      | $127786583.93  | 0.75%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F060634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  227130000 | PA      | $232980868.80  | 1.37%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F022436<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5360000 | PA      | $5107978.16    | 0.03%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F040636<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38780000 | PA      | $37699977.00   | 0.22%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F042632<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20585000 | PA      | $20355353.74   | 0.12%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F022634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  147525000 | PA      | $127808283.75  | 0.75%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F020430<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   72280000 | PA      | $67321375.16   | 0.39%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F032633<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   85390000 | PA      | $80491175.70   | 0.47%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F050635<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31655000 | PA      | $31796814.40   | 0.19%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA MAR                              | FANNIE MAE OR FREDDIE MAC                                           | CUSIP: 01F030637<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   72345000 | PA      | $65442129.48   | 0.38%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6716237 | PA      | $6959887.53    | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31409BDN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1419 | PA      | $1504.08       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EGKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94101 | PA      | $100166.89     | 0.00%             | 2040-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1249090 | PA      | $1268031.91    | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4561969 | PA      | $3972805.05    | 0.02%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10389 | PA      | $11014.75      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255256 | PA      | $265992.60     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QVAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19922145 | PA      | $20647264.09   | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419BCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16730 | PA      | $16983.75      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4488292 | PA      | $4340924.66    | 0.03%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     512275 | PA      | $545295.74     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209576 | PA      | $215553.78     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4446498 | PA      | $4120274.97    | 0.02%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16747 | PA      | $17668.88      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140X9DE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11777452 | PA      | $11040753.88   | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QS3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9999705 | PA      | $10134089.07   | 0.06%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QM4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14525070 | PA      | $12746010.93   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402C3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187730 | PA      | $197235.28     | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2792433 | PA      | $2794897.99    | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11016 | PA      | $11452.69      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652515 | PA      | $654614.06     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XMB62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7553143 | PA      | $7881754.33    | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173136 | PA      | $182744.84     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6026301 | PA      | $5774060.27    | 0.03%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     700033 | PA      | $727785.88     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7702635 | PA      | $7001571.09    | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31411GGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99958 | PA      | $106001.25     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1172464 | PA      | $1166542.55    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XJKB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2158816 | PA      | $2010475.57    | 0.01%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31371NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        757 | PA      | $805.72        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140Y6U57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35670375 | PA      | $37294478.00   | 0.22%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2630311 | PA      | $2577464.86    | 0.02%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140W0BS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     809744 | PA      | $830048.31     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ENXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855091 | PA      | $882617.46     | 0.01%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QNQ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62057 | PA      | $58732.32      | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5712498 | PA      | $4993655.01    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EKEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395681 | PA      | $413101.34     | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646399 | PA      | $685261.64     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ABBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5522 | PA      | $5598.29       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1542982 | PA      | $1501391.90    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EPZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232654 | PA      | $235023.05     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31406CLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183221 | PA      | $190496.48     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7759156 | PA      | $6763501.08    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138E2K53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1203909 | PA      | $1204519.09    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127300 | PA      | $132918.66     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31374TFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $299.08        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419AHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97101 | PA      | $102946.41     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85763 | PA      | $88075.64      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1680 | PA      | $1746.41       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410S4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        760 | PA      | $813.72        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242442 | PA      | $248980.67     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27432 | PA      | $29404.39      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140A0AH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4544016 | PA      | $4628109.85    | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140N0UW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1582625 | PA      | $1600613.08    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EGVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44571 | PA      | $45841.91      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2630836 | PA      | $2658265.35    | 0.02%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     611689 | PA      | $651241.16     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EG3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3923732 | PA      | $3903916.66    | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417YVG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665704 | PA      | $662341.97     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140Y7D21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26686237 | PA      | $27298304.25   | 0.16%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1016611 | PA      | $1019264.83    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8241072 | PA      | $8341935.05    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413BPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7596 | PA      | $8163.27       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QC4X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6793151 | PA      | $6238205.46    | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247104 | PA      | $245856.00     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     588952 | PA      | $597141.46     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140W3RE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3199682 | PA      | $3335986.82    | 0.02%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434238 | PA      | $446625.16     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1426858 | PA      | $1393529.72    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138MFSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     727663 | PA      | $685578.73     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ETUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3800850 | PA      | $3676705.07    | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514243 | PA      | $507001.77     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QVLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5210238 | PA      | $5349466.10    | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3509456 | PA      | $3603138.97    | 0.02%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DPZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156082 | PA      | $160825.16     | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38239 | PA      | $40989.61      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416CKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313742 | PA      | $333965.33     | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4009826 | PA      | $4067432.32    | 0.02%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1876204 | PA      | $1877155.29    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EGE83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3821748 | PA      | $3876652.22    | 0.02%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418FTA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16822431 | PA      | $16901308.50   | 0.10%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WJMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13059293 | PA      | $12179842.68   | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252934 | PA      | $263572.77     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20063268 | PA      | $20209023.77   | 0.12%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4265 | PA      | $4570.90       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XLXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     640216 | PA      | $570201.65     | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413NJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21862 | PA      | $23493.71      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2119367 | PA      | $1986846.79    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1135722 | PA      | $989223.65     | 0.01%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39179309 | PA      | $32893508.14   | 0.19%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416XBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251999 | PA      | $255820.44     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418M2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593826 | PA      | $629571.60     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130947 | PA      | $135532.41     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138X53G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1200926 | PA      | $1162346.93    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410FSK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27367 | PA      | $28147.47      | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410LHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279019 | PA      | $283027.89     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XKX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5885498 | PA      | $5900871.19    | 0.03%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ENW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     741630 | PA      | $789457.19     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                        | FANNIE MAE POOL                                                     | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55846 | PA      | $56162.68      | 0.00%             | 2035-12-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EQCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     557690 | PA      | $575642.46     | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18187502 | PA      | $15256867.64   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413MB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6611 | PA      | $7102.03       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XA2E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17521272 | PA      | $16130033.05   | 0.09%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418NET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16434 | PA      | $16683.35      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140LQRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18922 | PA      | $17621.38      | 0.00%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417CGY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2696264 | PA      | $2608198.16    | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3138ERN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5271672 | PA      | $5103354.73    | 0.03%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410FYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329551 | PA      | $343412.36     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22077 | PA      | $22384.30      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31405ULZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13399 | PA      | $14059.46      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16186688 | PA      | $14139756.65   | 0.08%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6064548 | PA      | $6023213.72    | 0.04%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XGNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1334592 | PA      | $1276753.64    | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417NCE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18613 | PA      | $18880.70      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QEJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9639463 | PA      | $8146182.17    | 0.05%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XHXF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6170081 | PA      | $5422009.59    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417Y5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272932 | PA      | $276727.68     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413CBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12542 | PA      | $13472.89      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3501627 | PA      | $3480038.38    | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                            | FANNIE MAE POOL                                                     | CUSIP: 31404KHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16444 | PA      | $17096.16      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410PAV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21176 | PA      | $22694.73      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XHCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2543053 | PA      | $2535117.22    | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14377689 | PA      | $12521970.95   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QT2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6045413 | PA      | $6190765.97    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     485015 | PA      | $505415.51     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140J7SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3909050 | PA      | $3888928.58    | 0.02%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31409TS58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5606 | PA      | $6008.28       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417YW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10194 | PA      | $10335.63      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15492879 | PA      | $13026836.08   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     746344 | PA      | $756721.94     | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13179758 | PA      | $11492230.25   | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ENBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2945847 | PA      | $2849629.09    | 0.02%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4783872 | PA      | $4193997.96    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XGEQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13862584 | PA      | $13869609.11   | 0.08%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3138LY2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158760 | PA      | $157421.20     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13407 | PA      | $13970.71      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WJNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3253014 | PA      | $3131135.49    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410GHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44813 | PA      | $47702.11      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2399235 | PA      | $2439400.35    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285922 | PA      | $294078.33     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379909 | PA      | $390746.39     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363825 | PA      | $383913.51     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5409259 | PA      | $5381941.68    | 0.03%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     599600 | PA      | $624763.36     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7559291 | PA      | $7673921.61    | 0.04%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QUM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1484115 | PA      | $1523608.48    | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140W4E86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8798015 | PA      | $8881804.89    | 0.05%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489172 | PA      | $525588.37     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DUL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242336 | PA      | $253027.77     | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12822408 | PA      | $10682355.76   | 0.06%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229423 | PA      | $235967.80     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31406KJW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1156 | PA      | $1212.24       | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402Q6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239186 | PA      | $248668.54     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410FU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72118 | PA      | $75151.24      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31371NEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        314 | PA      | $333.88        | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XCP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6184846 | PA      | $6386795.11    | 0.04%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410GWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54327 | PA      | $55791.89      | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413HK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3222 | PA      | $3462.10       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140MAXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247310 | PA      | $230315.98     | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2038 | PA      | $2184.53       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15239639 | PA      | $12685545.66   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417FU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12479363 | PA      | $11733034.78   | 0.07%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31411ADF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14551 | PA      | $15588.40      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $246.85        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8487 | PA      | $8998.24       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QUXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9803344 | PA      | $10139466.57   | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31411CKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7078 | PA      | $7586.41       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XHK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2549709 | PA      | $2551001.41    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108426 | PA      | $111350.79     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2617424 | PA      | $2441158.97    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ELX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1395498 | PA      | $1414902.95    | 0.01%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XKXM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4211178 | PA      | $3691920.05    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138MQX99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4594151 | PA      | $4444095.88    | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XCBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3356167 | PA      | $3320475.94    | 0.02%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31412SEE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30637 | PA      | $32928.16      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3087033 | PA      | $2957819.82    | 0.02%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3676916 | PA      | $3424260.52    | 0.02%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8065051 | PA      | $6711180.18    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9349396 | PA      | $8706962.16    | 0.05%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41503 | PA      | $44584.79      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5003488 | PA      | $4537370.07    | 0.03%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1493483 | PA      | $1510829.93    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418ELV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6380653 | PA      | $6205493.12    | 0.04%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8926166 | PA      | $8312814.06    | 0.05%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140MGSE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36322 | PA      | $31649.62      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XNHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19761902 | PA      | $20621675.54   | 0.12%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QDEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301372 | PA      | $277909.74     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31409HDV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6999 | PA      | $7500.90       | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19127 | PA      | $16660.02      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4469286 | PA      | $4521199.01    | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146940 | PA      | $156870.09     | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410KHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420399 | PA      | $438081.22     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12315889 | PA      | $12253692.16   | 0.07%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2146005 | PA      | $1998544.30    | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403C5F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23997 | PA      | $24920.21      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419KKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52965 | PA      | $52697.87      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140X9DD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5025826 | PA      | $4654654.04    | 0.03%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31414KE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68354 | PA      | $73631.21      | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140J95S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3593786 | PA      | $3476404.77    | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31371LWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94367 | PA      | $99019.84      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429757 | PA      | $442015.48     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     983567 | PA      | $963951.43     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140Y67K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16055402 | PA      | $16780739.77   | 0.10%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3468 | PA      | $3676.42       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4493693 | PA      | $4517884.62    | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2015971 | PA      | $2046542.05    | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     707737 | PA      | $750339.20     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138LXQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1906175 | PA      | $1843915.28    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31412NFD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185649 | PA      | $197615.57     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31418EFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4577936 | PA      | $4263367.71    | 0.02%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140MFYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2855025 | PA      | $2720411.76    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43648880 | PA      | $38343278.56   | 0.22%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31371NH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4578 | PA      | $4624.92       | 0.00%             | 2027-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1888416 | PA      | $1878879.01    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418MKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91105 | PA      | $95244.27      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140FMQW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     483185 | PA      | $450646.02     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140QCNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5513098 | PA      | $5374750.99    | 0.03%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2946069 | PA      | $2990743.96    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3138EPXJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2078957 | PA      | $2051960.32    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92614 | PA      | $96177.67      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3819340 | PA      | $3564727.11    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     704594 | PA      | $747007.14     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     987865 | PA      | $866615.62     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31412V4C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        163 | PA      | $175.22        | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17532126 | PA      | $15181938.76   | 0.09%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138A4X75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2346 | PA      | $2381.71       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281787 | PA      | $297303.27     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432351 | PA      | $460247.48     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EPY99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430687 | PA      | $442302.79     | 0.00%             | 2045-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138LUTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     904308 | PA      | $874771.07     | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402DCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85812 | PA      | $88126.26      | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138A6LY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1628946 | PA      | $1653647.94    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113324 | PA      | $117817.15     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EGNC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     915658 | PA      | $974681.52     | 0.01%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1026534 | PA      | $1071844.24    | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413LPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29112 | PA      | $31273.75      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ERTV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9153347 | PA      | $8531125.93    | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XJB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7331828 | PA      | $6544696.40    | 0.04%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12243820 | PA      | $10196996.45   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QNQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583246 | PA      | $508222.56     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417CGZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1007401 | PA      | $974496.53     | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418AAH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     990697 | PA      | $991199.16     | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QHHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17951560 | PA      | $16498314.31   | 0.10%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410G7K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158964 | PA      | $163795.07     | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1581069 | PA      | $1616911.49    | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410KBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374709 | PA      | $395342.12     | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27037876 | PA      | $23787655.75   | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2510430 | PA      | $2189070.72    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91178 | PA      | $95012.61      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140X56K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11547024 | PA      | $11552876.01   | 0.07%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EKHJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2694938 | PA      | $2678322.27    | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91123 | PA      | $94955.93      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11884035 | PA      | $10784799.51   | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107509 | PA      | $109139.61     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QTEF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9329564 | PA      | $9598443.68    | 0.06%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EHRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620038 | PA      | $628660.02     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4931644 | PA      | $4981871.46    | 0.03%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410PAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5916 | PA      | $6339.96       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366746 | PA      | $388822.84     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140W3PV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14833496 | PA      | $15169772.86   | 0.09%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31371LDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128638 | PA      | $131862.30     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31412AWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10718 | PA      | $11518.35      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417LCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38101 | PA      | $38648.43      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410KT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49753 | PA      | $52747.93      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EKLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553468 | PA      | $535390.08     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DDJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33568 | PA      | $34898.57      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204481 | PA      | $216790.06     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417GP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18313 | PA      | $17167.43      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XALH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9008392 | PA      | $9094255.66    | 0.05%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140QNZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5139557 | PA      | $4897914.95    | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418TJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539642 | PA      | $557044.73     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4242937 | PA      | $4391480.12    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914484 | PA      | $980012.85     | 0.01%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75826 | PA      | $79172.38      | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419AF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593273 | PA      | $618226.87     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140MMT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1128151 | PA      | $983386.75     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305674 | PA      | $325377.77     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396403 | PA      | $402413.74     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19775410 | PA      | $17337007.98   | 0.10%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1149322 | PA      | $1012952.46    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19570 | PA      | $20887.37      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40902 | PA      | $43154.41      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4267584 | PA      | $4299718.01    | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1649942 | PA      | $1697006.68    | 0.01%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31411CNU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8396 | PA      | $8993.98       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346639 | PA      | $339849.20     | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140NGTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5879472 | PA      | $5923743.22    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1095741 | PA      | $1090207.68    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387612 | PA      | $337753.45     | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24059906 | PA      | $24614629.39   | 0.14%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31391LAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69795 | PA      | $72505.61      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576567 | PA      | $600817.88     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WMW49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137148 | PA      | $1105942.83    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417DF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2899422 | PA      | $2734203.41    | 0.02%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20816 | PA      | $21965.19      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31384DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        491 | PA      | $496.16        | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                        | FANNIE MAE POOL                                                     | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145204 | PA      | $148572.95     | 0.00%             | 2036-07-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52860993 | PA      | $44205378.28   | 0.26%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17729 | PA      | $18173.42      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     838463 | PA      | $826655.74     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EJSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1740709 | PA      | $1729988.64    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1662566 | PA      | $1654169.62    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6872085 | PA      | $5756434.28    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31412SEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39252 | PA      | $42182.10      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413NMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1404 | PA      | $1508.67       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138A4AM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     555841 | PA      | $553034.07     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1594825 | PA      | $1542734.04    | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31371KVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1490 | PA      | $1571.88       | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31371MXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26118 | PA      | $27990.16      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418MP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658019 | PA      | $700567.15     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8255003 | PA      | $7767968.95    | 0.05%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417NB34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28292 | PA      | $28698.62      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     591665 | PA      | $600165.23     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12176622 | PA      | $11526912.01   | 0.07%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DP52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7551 | PA      | $8092.49       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3138EKAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339414 | PA      | $336422.97     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140F0T87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1710046 | PA      | $1655111.58    | 0.01%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8104489 | PA      | $7848846.66    | 0.05%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413CBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3818 | PA      | $4101.79       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     839292 | PA      | $829534.48     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1031334 | PA      | $1041915.93    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31418ED98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8173408 | PA      | $7611780.59    | 0.04%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479808 | PA      | $499989.00     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31411VFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82923 | PA      | $91063.96      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597749 | PA      | $560359.16     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1125805 | PA      | $1095116.17    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419BCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154948 | PA      | $157297.40     | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407760 | PA      | $413617.73     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     460791 | PA      | $450974.35     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31838 | PA      | $32320.56      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XKQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6075552 | PA      | $5789091.73    | 0.03%             | 2038-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5506193 | PA      | $5181334.60    | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416BTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160236 | PA      | $164806.68     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  128862804 | PA      | $106995917.44  | 0.63%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3335506 | PA      | $3467680.85    | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EJK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2469432 | PA      | $2456961.46    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XRVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73061 | PA      | $76341.59      | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602626 | PA      | $618878.98     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413CB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5543 | PA      | $5957.09       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31409V5T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8590 | PA      | $9202.65       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2783689 | PA      | $2667173.18    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140J9HW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3879762 | PA      | $3623675.49    | 0.02%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410VJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4673 | PA      | $5007.98       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140QNRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401890 | PA      | $383326.42     | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7215653 | PA      | $7357836.65    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21555725 | PA      | $19679077.62   | 0.12%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410TY82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3074 | PA      | $3294.52       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418EEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9247258 | PA      | $7703896.05    | 0.05%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181772 | PA      | $186674.80     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418SQ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     555045 | PA      | $572912.78     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3179175 | PA      | $3103895.56    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     653652 | PA      | $644255.22     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XLVH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180591 | PA      | $184086.86     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XGRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686092 | PA      | $667288.44     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140F5C35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5139705 | PA      | $4790320.69    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QEYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39562127 | PA      | $35068708.81   | 0.21%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336395 | PA      | $351236.43     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140Y7S82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8246178 | PA      | $8435309.43    | 0.05%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7875283 | PA      | $6595617.13    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140W4EU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720507 | PA      | $725255.16     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140FXGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5728382 | PA      | $5733877.24    | 0.03%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1196946 | PA      | $1116340.02    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92650 | PA      | $97217.98      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26013950 | PA      | $21763439.56   | 0.13%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344135 | PA      | $331055.05     | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140N5LL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29897 | PA      | $30229.36      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140Y6W48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19927212 | PA      | $20618530.27   | 0.12%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6610162 | PA      | $6023585.15    | 0.04%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     696679 | PA      | $701854.29     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140BE7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454395 | PA      | $475264.64     | 0.00%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EHWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3302602 | PA      | $3285923.25    | 0.02%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7313207 | PA      | $7430588.24    | 0.04%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179669 | PA      | $190484.28     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140LQPW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605161 | PA      | $576867.67     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127175 | PA      | $130802.59     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140MGE98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85682 | PA      | $78300.04      | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410UPY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48010 | PA      | $51451.87      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133411 | PA      | $137009.18     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413HDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        585 | PA      | $622.22        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21441836 | PA      | $18857663.50   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140N12A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4041755 | PA      | $4073581.33    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449599 | PA      | $461724.74     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225770 | PA      | $231430.04     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138MBKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1689716 | PA      | $1634525.83    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     946918 | PA      | $960085.41     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2579181 | PA      | $2528662.80    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6330235 | PA      | $6214627.75    | 0.04%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WFK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3973441 | PA      | $3840485.07    | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2597738 | PA      | $2294105.79    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413F5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21625 | PA      | $23246.31      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31408GXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10145 | PA      | $10874.47      | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1965 | PA      | $2073.29       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     957278 | PA      | $931008.65     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6819253 | PA      | $6777209.65    | 0.04%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22945813 | PA      | $23415596.38   | 0.14%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EM5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463591 | PA      | $476094.34     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239966 | PA      | $243413.74     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410TAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3180 | PA      | $3409.07       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31383JHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $122.59        | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ENBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1637865 | PA      | $1755290.37    | 0.01%             | 2044-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140W3GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7665515 | PA      | $7832899.70    | 0.05%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XQXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5966333 | PA      | $6138756.54    | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413T3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18514 | PA      | $19888.81      | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28569 | PA      | $30141.57      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7254183 | PA      | $7138355.18    | 0.04%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140X86M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518655 | PA      | $523598.24     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7941 | PA      | $8510.18       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3006083 | PA      | $3120307.84    | 0.02%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75181832 | PA      | $62923878.12   | 0.37%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QUNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7225134 | PA      | $7395305.80    | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XG3C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2610743 | PA      | $2615642.15    | 0.02%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     691085 | PA      | $735631.65     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140FGNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4386504 | PA      | $4091104.08    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133866 | PA      | $139173.18     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EPY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317228 | PA      | $326277.44     | 0.00%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31414ALP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31717 | PA      | $34057.16      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413LAZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4522 | PA      | $4860.69       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410FY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1569 | PA      | $1638.32       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WAXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157358 | PA      | $158960.73     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413HLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10147 | PA      | $10902.52      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31416CGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65540 | PA      | $68138.43      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2450828 | PA      | $2386058.67    | 0.01%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     591625 | PA      | $612337.30     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                        | FANNIE MAE POOL                                                     | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76234 | PA      | $78062.57      | 0.00%             | 2036-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140FGMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6901465 | PA      | $6436700.25    | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                        | FANNIE MAE POOL                                                     | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39965 | PA      | $40724.48      | 0.00%             | 2037-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     847818 | PA      | $820554.69     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QRKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17932642 | PA      | $18800870.28   | 0.11%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410WX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7045 | PA      | $7551.02       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138337 | PA      | $140435.15     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1459587 | PA      | $1481721.02    | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410F3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25104 | PA      | $26903.77      | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31402RAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36295 | PA      | $37273.94      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1422071 | PA      | $1376341.49    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XKG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16306811 | PA      | $17074393.21   | 0.10%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140XGVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8989719 | PA      | $9275597.65    | 0.05%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24614251 | PA      | $21509229.48   | 0.13%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QQ3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13977699 | PA      | $14344389.94   | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4987613 | PA      | $4700992.16    | 0.03%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31408JR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129005 | PA      | $138253.76     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45068 | PA      | $45694.43      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2664858 | PA      | $2651400.41    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140LQPU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1496401 | PA      | $1393577.22    | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2127507 | PA      | $2006275.37    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QNQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22505379 | PA      | $18746823.43   | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3138WD5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     512019 | PA      | $505187.28     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3138ERNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6324297 | PA      | $6123439.82    | 0.04%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ENF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131284 | PA      | $136488.25     | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305404 | PA      | $309791.25     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418MGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397060 | PA      | $422733.97     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31405N2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231803 | PA      | $241008.23     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                            | FANNIE MAE POOL                                                     | CUSIP: 31409AF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5224 | PA      | $5512.47       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2786111 | PA      | $2619487.70    | 0.02%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417YR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1319 | PA      | $1339.39       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140KQFJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18114 | PA      | $16962.87      | 0.00%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18861 | PA      | $20213.41      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31413QM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26673 | PA      | $28654.52      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31417CNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2313289 | PA      | $2237731.23    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410KJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400121 | PA      | $411534.40     | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140QT2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13688600 | PA      | $14067713.92   | 0.08%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63018 | PA      | $66487.57      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6982458 | PA      | $6546543.83    | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1790773 | PA      | $1817928.98    | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3140J9YQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1186521 | PA      | $1148414.83    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31376KML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        658 | PA      | $694.86        | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140XBWT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14961 | PA      | $13943.59      | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2828 | PA      | $2997.79       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4213163 | PA      | $3902008.82    | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1027547 | PA      | $1022357.54    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                     | CUSIP: 3140J5UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5093631 | PA      | $5028478.29    | 0.03%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1232894 | PA      | $1312365.57    | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138EH7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     788034 | PA      | $838830.78     | 0.00%             | 2042-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729509 | PA      | $760192.93     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                     | CUSIP: 3138ARBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1084163 | PA      | $1084712.64    | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2020-75 WI                                  | FANNIE MAE REMICS                                                   | CUSIP: 3136BCJC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55045513 | PA      | $8892487.11    | 0.05%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2023-2 EI                                   | FANNIE MAE REMICS                                                   | CUSIP: 3136BPVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16384895 | PA      | $2614966.83    | 0.02%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2020-62 AI                                  | FANNIE MAE REMICS                                                   | CUSIP: 3136BBXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11247716 | PA      | $1827677.68    | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FERRARI NV                                      | FERRARI NV                                                          | CUSIP: YX0724154<br>LEI: 549300RIVY5EX8RCON76 | Long             | DBT              | CORP              | NL        |    7090000 | PA      | $8629393.45    | 0.05%             | 2030-05-21      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC APODS 6.7 31 05/19/26 CHAS_C                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-14869.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC ARCC 5.1 31 05/19/26 CHAS_C                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2328.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC ARCC 5.8 32 05/19/26 CHAS_C                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $22424.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC ARESSI 5.8 30 05/19/26 CHAS_C                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $31252.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC BCSF 5.95 30 05/19/26 CHAS_C                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $27698.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC BXSL 5.125 31 05/19/26 CHAS_C                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-7814.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC CGBD 5.75 31 05/19/26 CHAS_C                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-18821.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC GSCRED 5.875 31 05/19/26 CHAS_C                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $22621.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC HLEND 5.45 30 05/19/26 CHAS_C                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $42839.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC HTGC 6 30 05/19/26 CHAS_C                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-4487.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OBDC 5.95 29 05/19/26 CHAS_C                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $82690.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OBDC 6.2 30 05/19/26 CHAS_C                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-14178.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OCINCC 5.8 30 05/19/26 CHAS_C                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $62346.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OCINCC 6.6 29 05/19/26 CHAS_C                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $41381.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OCINCC 6.65 31 05/19/26 CHAS_C                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $37497.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIEMEX ENERGIA - BANC AC 144A                   | FIEMEX ENERGIA - BANCO ACTINVER SA INSTITUCION DE BANCA MULTIPLE    | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   11593889 | PA      | $12111184.16   | 0.07%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                             | FIFTH THIRD BANCORP                                                 | CUSIP: 316773DP2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   24985000 | PA      | $25032843.05   | 0.15%             | 2037-01-29      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| FILTRATION GROUP TL B 1L BANKDEBT               | FILTRATION GROUP CORP                                               | CUSIP: 31732FAX4<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |    4823756 | PA      | $4826794.55    | 0.03%             | 2028-10-23      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL                        | FIRST AMERICAN FINANCIAL CORP                                       | CUSIP: 31847RAH5<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $13222595.47   | 0.08%             | 2031-08-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                | FIRSTENERGY CORP                                                    | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   15341000 | PA      | $14492023.54   | 0.08%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                | FIRSTENERGY CORP                                                    | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    2840000 | PA      | $2608029.44    | 0.02%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                        | FIRSTENERGY TRANSMISSION LLC                                        | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    5680000 | PA      | $5754820.27    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                      | FISERV INC                                                          | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   25550000 | PA      | $25477213.76   | 0.15%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II 144A                     | FIVE CORNERS FUNDING TRUST II                                       | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2031000 | PA      | $1923307.17    | 0.01%             | 2030-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FSMT 2018-6RR 2A4 144A                          | FLAGSTAR MORTGAGE TRUST 2018-6RR                                    | CUSIP: 33851FAP2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |     400640 | PA      | $397133.66     | 0.00%             | 2048-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FSMT 2020-1INV A11 144A                         | FLAGSTAR MORTGAGE TRUST 2020-1NV                                    | CUSIP: 33851YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2980344 | PA      | $2886986.72    | 0.02%             | 2050-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FSMT 2021-8INV A18 144A                         | FLAGSTAR MORTGAGE TRUST 2021-8INV                                   | CUSIP: 33852HAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7396346 | PA      | $6296021.41    | 0.04%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                        | FLORIDA POWER & LIGHT CO                                            | CUSIP: 341081HB6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    8515000 | PA      | $8462153.09    | 0.05%             | 2066-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC 144A                       | FLUTTER TREASURY DAC                                                | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    2470000 | PA      | $2471504.91    | 0.01%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORDL 2023-B D                                  | FORD CREDIT AUTO LEASE TRUST 2023-B                                 | CUSIP: 34529NAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7830000 | PA      | $7869972.15    | 0.05%             | 2028-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| FORDL 2023-B C                                  | FORD CREDIT AUTO LEASE TRUST 2023-B                                 | CUSIP: 34529NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7979685 | PA      | $7994581.90    | 0.05%             | 2027-04-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FORDR 2023-1 A 144A                             | FORD CREDIT AUTO OWNER TRUST 2023-REV1                              | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33720000 | PA      | $34414605.02   | 0.20%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FORDF 2024-3 B 144A                             | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                          | CUSIP: 34528QJM7<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    3480000 | PA      | $3505873.10    | 0.02%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-2 B                                  | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                          | CUSIP: 34528QJW5<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    2630000 | PA      | $2643140.27    | 0.02%             | 2030-09-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-2 A1                                 | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                          | CUSIP: 34528QJU9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   13510000 | PA      | $13615904.89   | 0.08%             | 2030-09-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | FORD MOTOR CREDIT CO LLC                                            | CUSIP: 345397H48<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    7820000 | PA      | $8045195.67    | 0.05%             | 2030-09-05      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | FORD MOTOR CREDIT CO LLC                                            | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   14378000 | PA      | $15570745.56   | 0.09%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FCBSL 2024-4A B 144A                            | FORTRESS CREDIT BSL XXVI LTD                                        | CUSIP: 34966VAE2<br>LEI: 254900DPXY8BVCQBIY30 | Long             | ABS-CBDO         | CORP              | KY        |    2445000 | PA      | $2455269.00    | 0.01%             | 2038-01-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FCBSL 2026-1A A1 144A                           | FORTRESS CREDIT BSL XXVIII LTD                                      | CUSIP: 34966UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20150000 | PA      | $20128258.15   | 0.12%             | 2039-04-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                      | FOUNDRY JV HOLDCO LLC                                               | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    3125000 | PA      | $3363709.26    | 0.02%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                      | FOUNDRY JV HOLDCO LLC                                               | CUSIP: 350930AE3<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    7385000 | PA      | $7999820.25    | 0.05%             | 2038-01-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                      | FOUNDRY JV HOLDCO LLC                                               | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    3595000 | PA      | $3835598.69    | 0.02%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                      | FOUNDRY JV HOLDCO LLC                                               | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   25230000 | PA      | $26963364.17   | 0.16%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31292H4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        991 | PA      | $1035.83       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        588 | PA      | $618.05        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     635698 | PA      | $633175.84     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31296QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14825 | PA      | $15213.22      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259707 | PA      | $268368.58     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128K7MM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19780 | PA      | $20367.65      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16036209 | PA      | $15529490.04   | 0.09%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96178 | PA      | $95795.82      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128K9GH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1398 | PA      | $1493.79       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     357935 | PA      | $371411.44     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31287UEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2266 | PA      | $2407.16       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40371 | PA      | $41717.31      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85893 | PA      | $85552.30      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5789 | PA      | $5765.75       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31296QYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11960 | PA      | $12504.15      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157389 | PA      | $169539.99     | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2376091 | PA      | $2414829.04    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261179 | PA      | $265437.43     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12396859 | PA      | $12005312.15   | 0.07%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321220 | PA      | $344605.62     | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 30YR GOLD                                 | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128MJDS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5969 | PA      | $6305.36       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     412872 | PA      | $419603.59     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3132H7C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2410836 | PA      | $2336033.56    | 0.01%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1219770 | PA      | $1221704.20    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     385700 | PA      | $384169.36     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M4B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7634 | PA      | $8100.41       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     566167 | PA      | $558809.36     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     407383 | PA      | $433905.54     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25230 | PA      | $25129.56      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128MJCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64137 | PA      | $66041.35      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29412 | PA      | $30182.52      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13385 | PA      | $13735.25      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     860672 | PA      | $901371.63     | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16080218 | PA      | $15580069.48   | 0.09%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     354738 | PA      | $371513.41     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     627519 | PA      | $637240.45     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11551 | PA      | $12272.40      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     528740 | PA      | $549770.17     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M7CW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     731388 | PA      | $765974.04     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     606518 | PA      | $616173.95     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1419474 | PA      | $1413838.73    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128MJAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11480 | PA      | $12055.87      | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3132H3PR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3150175 | PA      | $3050711.16    | 0.02%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                                 | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2368357 | PA      | $2321902.28    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242537 | PA      | $249738.31     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382661 | PA      | $395427.98     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 20YR GOLD                                 | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128P7B85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $107.23        | 0.00%             | 2026-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1372 | PA      | $1407.58       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1494 | PA      | $1554.02       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     777784 | PA      | $789833.62     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M7YK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     450473 | PA      | $468867.04     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLM GOLD                                       | FREDDIE MAC GOLD POOL                                               | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1568627 | PA      | $1571114.17    | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312943DQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     406332 | PA      | $412956.63     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3132H5BB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1090561 | PA      | $1056126.99    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128K7U63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     486626 | PA      | $501149.51     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312940AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480794 | PA      | $498900.74     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M9JW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7358079 | PA      | $7125575.38    | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128K9DJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121364 | PA      | $129713.35     | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31298TQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $107.35        | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3089188 | PA      | $3139594.45    | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1157974 | PA      | $1073654.22    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     663344 | PA      | $673580.05     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29553 | PA      | $30326.82      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59358 | PA      | $59121.91      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                               | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     362709 | PA      | $386552.60     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                           | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60039 | PA      | $61119.82      | 0.00%             | 2037-01-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                           | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55548 | PA      | $56857.51      | 0.00%             | 2036-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                           | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32486 | PA      | $33155.00      | 0.00%             | 2037-02-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                           | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14362 | PA      | $14714.73      | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                           | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39066 | PA      | $39969.80      | 0.00%             | 2036-12-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                           | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99271 | PA      | $101706.43     | 0.00%             | 2036-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133KPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4116448 | PA      | $3447560.69    | 0.02%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DUCT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7263349 | PA      | $7300919.24    | 0.04%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18347063 | PA      | $16872598.76   | 0.10%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29790267 | PA      | $24872656.91   | 0.15%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133CFT66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     787641 | PA      | $801548.85     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DNUW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18317582 | PA      | $17236868.70   | 0.10%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3132D6B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1389197 | PA      | $1293739.48    | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 31427QYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5520586 | PA      | $5569895.32    | 0.03%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133WJJW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22437 | PA      | $20895.40      | 0.00%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWCL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16743 | PA      | $15853.30      | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3142GVJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25467394 | PA      | $26674997.53   | 0.16%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8962017 | PA      | $7541768.36    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3132CXJB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5459931 | PA      | $5378552.74    | 0.03%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13749427 | PA      | $12314494.07   | 0.07%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DQFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7318072 | PA      | $6721077.05    | 0.04%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 31427CYW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13041211 | PA      | $13308747.70   | 0.08%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3142JTVW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16909126 | PA      | $17020568.04   | 0.10%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 31427QJ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6104846 | PA      | $6154728.64    | 0.04%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWC92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33155 | PA      | $31383.72      | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133B7ZF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78574 | PA      | $74483.24      | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133WGCK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2066138 | PA      | $2124433.85    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BEVK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38279 | PA      | $36263.59      | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15127328 | PA      | $13270624.12   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133AMYW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1863593 | PA      | $1616770.28    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     581507 | PA      | $587884.38     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33501641 | PA      | $29474411.87   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BHRC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30953 | PA      | $31290.18      | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3142GVGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46976862 | PA      | $48521346.37   | 0.28%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11816520 | PA      | $10355176.10   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DMVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2662678 | PA      | $2544635.32    | 0.01%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133GG2J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4294763 | PA      | $3999652.69    | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3132D6CL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5053406 | PA      | $4815139.04    | 0.03%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133CWHZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3008918 | PA      | $3112982.27    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95145 | PA      | $96204.66      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6157247 | PA      | $5129606.43    | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3142GSB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8112205 | PA      | $8396209.83    | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133WDQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1919052 | PA      | $1953449.27    | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BPGR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4437341 | PA      | $4486743.44    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133GEL97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6428376 | PA      | $6000789.22    | 0.04%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3132CWG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1920468 | PA      | $1872611.98    | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133AQFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2137201 | PA      | $1853974.58    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11521204 | PA      | $10447904.51   | 0.06%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BNZS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98432 | PA      | $99462.40      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12231843 | PA      | $11912158.46   | 0.07%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 31427PXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13427829 | PA      | $14004474.34   | 0.08%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133KHKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7442353 | PA      | $7269286.70    | 0.04%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DSQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8610571 | PA      | $8829767.43    | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 31427PHV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15589057 | PA      | $15924907.56   | 0.09%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DVCA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1307083 | PA      | $1362896.30    | 0.01%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4240819 | PA      | $4389288.20    | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133A1CC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2600856 | PA      | $2394893.48    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3142GVJY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30317330 | PA      | $31054431.25   | 0.18%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133CTLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8472232 | PA      | $8675590.57    | 0.05%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 31425VMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     454029 | PA      | $466323.44     | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133KNBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3788370 | PA      | $3469098.22    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133ANVW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2357649 | PA      | $2082082.24    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133KGKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2826249 | PA      | $2700954.41    | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DTAW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22959504 | PA      | $20121367.37   | 0.12%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8420046 | PA      | $8491363.71    | 0.05%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133WJTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5565632 | PA      | $5303214.26    | 0.03%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DTTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11791295 | PA      | $12285607.78   | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWFB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     470458 | PA      | $409627.07     | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DVE92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6569726 | PA      | $6808848.70    | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38438667 | PA      | $33477414.84   | 0.20%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DNJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4447886 | PA      | $4075267.40    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133KN4U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11580089 | PA      | $10143042.61   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3142GUKU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29626732 | PA      | $30569043.27   | 0.18%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BJUU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     691831 | PA      | $696490.07     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3132CW6E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5609582 | PA      | $5164990.34    | 0.03%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133WJDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7229567 | PA      | $6732794.78    | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132E0A77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32667327 | PA      | $33421193.66   | 0.20%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10693062 | PA      | $10952793.30   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38361355 | PA      | $38083997.30   | 0.22%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3132CWYY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5554940 | PA      | $5537609.76    | 0.03%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3682024 | PA      | $3711494.41    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3483706 | PA      | $3211707.57    | 0.02%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133KYXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2514949 | PA      | $2368234.83    | 0.01%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BMWT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     356315 | PA      | $360450.81     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BNW66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     438901 | PA      | $443495.87     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DQ6R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7961960 | PA      | $6705755.84    | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     947823 | PA      | $956999.13     | 0.01%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DTFE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7388582 | PA      | $7592156.55    | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133APTU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4271881 | PA      | $3771301.60    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DQLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3519230 | PA      | $3555750.89    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133GG6G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1133588 | PA      | $1080587.96    | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12540233 | PA      | $12871274.53   | 0.08%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3142GS4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2481046 | PA      | $2547344.78    | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66953630 | PA      | $55943097.13   | 0.33%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     803978 | PA      | $812226.82     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 31426JF53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8933823 | PA      | $9237103.45    | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     699944 | PA      | $651847.96     | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 31426PDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7520245 | PA      | $7749709.54    | 0.05%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133BNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     540899 | PA      | $546923.78     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133WJQA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107451 | PA      | $100067.24     | 0.00%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1333591 | PA      | $1347552.25    | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133GF6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110119 | PA      | $102823.32     | 0.00%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133KH3Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2188127 | PA      | $2195165.07    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 31426LK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1993956 | PA      | $2062140.63    | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3133KJL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2195462 | PA      | $1855355.80    | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DTG53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3977940 | PA      | $4200859.17    | 0.02%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                    | CUSIP: 3132DNQN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12562849 | PA      | $12203717.84   | 0.07%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3273663 | PA      | $3082687.58    | 0.02%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                    | CUSIP: 3132D6CG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1274059 | PA      | $1270084.47    | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 5293 KI                                     | FREDDIE MAC REMICS                                                  | CUSIP: 3137H9QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74646721 | PA      | $9776160.40    | 0.06%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 5048 IN                                     | FREDDIE MAC REMICS                                                  | CUSIP: 3137F7EK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14151903 | PA      | $2365081.23    | 0.01%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 5035 KI                                     | FREDDIE MAC REMICS                                                  | CUSIP: 3137F6G35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25172995 | PA      | $2930223.18    | 0.02%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STACR 2024-DNA2 A1 144A                         | FREDDIE MAC STACR REMIC TRUST 2024-DNA2                             | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |   10300275 | PA      | $10354716.39   | 0.06%             | 2044-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STACR 2024-HQA2 A1 144A                         | FREDDIE MAC STACR REMIC TRUST 2024-HQA2                             | CUSIP: 35564NDY6<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | USGSE             | US        |   15145092 | PA      | $15201637.51   | 0.09%             | 2044-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STACR 2025-DNA3 M1 144A                         | FREDDIE MAC STACR REMIC TRUST 2025-DNA3                             | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |    8099226 | PA      | $8099226.19    | 0.05%             | 2045-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHS 199 PO                                      | FREDDIE MAC STRIPS                                                  | CUSIP: 31351B3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1539 | PA      | $1467.38       | 0.00%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHS 386 C3                                      | FREDDIE MAC STRIPS                                                  | CUSIP: 31325YCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30963200 | PA      | $4995822.49    | 0.03%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHS 386 C5                                      | FREDDIE MAC STRIPS                                                  | CUSIP: 31325YCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61348841 | PA      | $9822516.44    | 0.06%             | 2051-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHS 375 C4                                      | FREDDIE MAC STRIPS                                                  | CUSIP: 3133Q5AR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23403318 | PA      | $3757043.45    | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                            | FREEPORT-MCMORAN INC                                                | CUSIP: 35671DCC7<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    1558000 | PA      | $1559363.41    | 0.01%             | 2027-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                            | FREEPORT-MCMORAN INC                                                | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    2715000 | PA      | $2746250.56    | 0.02%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                            | FREEPORT-MCMORAN INC                                                | CUSIP: 35671DCF0<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    4247000 | PA      | $4253372.86    | 0.02%             | 2030-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                            | FREEPORT-MCMORAN INC                                                | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    6681000 | PA      | $6689609.81    | 0.04%             | 2028-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST 144A                    | GA GLOBAL FUNDING TRUST                                             | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   10780000 | PA      | $10931661.00   | 0.06%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST 144A                    | GA GLOBAL FUNDING TRUST                                             | CUSIP: 36143L2R5<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   10015000 | PA      | $10283637.44   | 0.06%             | 2030-01-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GALDERMA FINANCE EUROPE                         | GALDERMA FINANCE EUROPE BV                                          | CUSIP: YQ2652101<br>LEI: 7245004RN4I1ORSTHY93 | Long             | DBT              | CORP              | NL        |    6092000 | PA      | $7339218.26    | 0.04%             | 2030-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GFMT 2018-1 A23 144A                            | GALTON FUNDING MORTGAGE TRUST 2017-1                                | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     509679 | PA      | $476967.29     | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GFMT 2018-2 A22 144A                            | GALTON FUNDING MORTGAGE TRUST 2018-2                                | CUSIP: 36418GAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     808348 | PA      | $780534.03     | 0.00%             | 2058-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM1 A1 144A                          | GCAT 2025-NQM1 TRUST                                                | CUSIP: 36171GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10486200 | PA      | $10571826.21   | 0.06%             | 2069-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GE VERNOVA INC                                  | GE VERNOVA INC                                                      | CUSIP: 36828AAC5<br>LEI: 254900DP080RU6OK2553 | Long             | DBT              | CORP              | US        |    3450000 | PA      | $3422231.49    | 0.02%             | 2056-02-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                             | GENERAL ELECTRIC CO                                                 | CUSIP: 369604BZ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    8980000 | PA      | $9126182.81    | 0.05%             | 2030-07-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                             | GENERAL ELECTRIC CO                                                 | CUSIP: 369604CA9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    6935000 | PA      | $7108600.78    | 0.04%             | 2036-01-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                          | GENERAL MOTORS FINANCIAL CO INC                                     | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    4466000 | PA      | $4860265.71    | 0.03%             | 2033-01-09      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                          | GENERAL MOTORS FINANCIAL CO INC                                     | CUSIP: 37045XFN1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3815119.17    | 0.02%             | 2036-01-08      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| GENERAL MOTORS FINL CO                          | GENERAL MOTORS FINANCIAL CO INC                                     | CUSIP: 37045XEU6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   12735000 | PA      | $13260226.24   | 0.08%             | 2029-07-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA MAR                                 | GINNIE MAE                                                          | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34320000 | PA      | $33906787.20   | 0.20%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA MAR                                 | GINNIE MAE                                                          | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -220880000 | PA      | $-225341776.00 | -1.32%            | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA MAR                                 | GINNIE MAE                                                          | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  116585000 | PA      | $116980223.15  | 0.69%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA MAR                                 | GINNIE MAE                                                          | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   61310000 | PA      | $62086184.60   | 0.36%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN I                            | GINNIE MAE I POOL                                                   | CUSIP: 36208HQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17329 | PA      | $17473.60      | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                   | CUSIP: 3622A2MG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35175 | PA      | $36756.30      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 36208DJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12839 | PA      | $12985.54      | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11233876 | PA      | $10593435.99   | 0.06%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     708352 | PA      | $733963.83     | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                   | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     772299 | PA      | $795612.06     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     983613 | PA      | $1018388.72    | 0.01%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                   | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2342600 | PA      | $2272287.29    | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                   | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        430 | PA      | $440.84        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                   | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1401724 | PA      | $1422083.70    | 0.01%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                   | CUSIP: 3622A2N57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7729 | PA      | $8004.27       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MORTG ASSN                            | GINNIE MAE I POOL                                                   | CUSIP: 36208EXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6735 | PA      | $6749.20       | 0.00%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 36200MV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     319782 | PA      | $327931.79     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN I NEW                        | GINNIE MAE I POOL                                                   | CUSIP: 36206PS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.42          | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                   | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1894273 | PA      | $1961241.79    | 0.01%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 36209W2W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5364 | PA      | $5375.47       | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 36213EP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20205 | PA      | $20996.98      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                   | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2054016 | PA      | $2123916.54    | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 36184BZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     545288 | PA      | $526423.20     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 36178NF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1756828 | PA      | $1656672.24    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                   | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1892458 | PA      | $1959362.91    | 0.01%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 15 YR                                      | GINNIE MAE I POOL                                                   | CUSIP: 3622A2KC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        797 | PA      | $797.44        | 0.00%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2146729 | PA      | $2105660.31    | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3605816 | PA      | $3350895.78    | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2147181 | PA      | $2126562.70    | 0.01%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     428754 | PA      | $435160.79     | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16606825 | PA      | $14072461.52   | 0.08%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8560882 | PA      | $8509402.77    | 0.05%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1696598 | PA      | $1577464.96    | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202D3J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7962 | PA      | $8362.34       | 0.00%             | 2034-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23883 | PA      | $24976.82      | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1523136 | PA      | $1565700.86    | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3617G8YM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     408303 | PA      | $417192.64     | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5911758 | PA      | $5681147.12    | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     912173 | PA      | $847721.26     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1083637 | PA      | $1128347.76    | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1248968 | PA      | $1263530.65    | 0.01%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3617B5DY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2041965 | PA      | $1961264.79    | 0.01%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1568789 | PA      | $1457942.87    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     740052 | PA      | $760733.09     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3622ABCY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5094153 | PA      | $4931688.44    | 0.03%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4713546 | PA      | $3994212.86    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30070038 | PA      | $29875230.84   | 0.18%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     813774 | PA      | $847349.97     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     565386 | PA      | $583994.09     | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51935 | PA      | $54335.69      | 0.00%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     345610 | PA      | $356985.42     | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200099 | PA      | $198176.34     | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2051174 | PA      | $2081258.24    | 0.01%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20031593 | PA      | $16974576.87   | 0.10%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4414546 | PA      | $4240240.76    | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10690149 | PA      | $9934985.65    | 0.06%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1145986 | PA      | $1151021.94    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1794881 | PA      | $1727959.33    | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     920110 | PA      | $950336.16     | 0.01%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2545093 | PA      | $2463923.85    | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140027 | PA      | $144627.36     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179W6F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67844 | PA      | $61663.04      | 0.00%             | 2037-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36241KYG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1049484 | PA      | $1118708.28    | 0.01%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21028726 | PA      | $20437889.32   | 0.12%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9978 | PA      | $10277.23      | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24999 | PA      | $26140.23      | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN II30Y                        | GINNIE MAE II POOL                                                  | CUSIP: 36202C2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1378 | PA      | $1404.10       | 0.00%             | 2028-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3622AB5L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4944388 | PA      | $4753059.29    | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1548136 | PA      | $1586114.61    | 0.01%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1686320 | PA      | $1741821.93    | 0.01%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1081185 | PA      | $1116770.03    | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228453 | PA      | $235972.23     | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1212976 | PA      | $1167750.79    | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     977302 | PA      | $1009467.71    | 0.01%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2428292 | PA      | $2346061.26    | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431341 | PA      | $437667.17     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3622ABZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2233275 | PA      | $2227184.55    | 0.01%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1023710 | PA      | $951371.49     | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     885933 | PA      | $915036.66     | 0.01%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170235 | PA      | $168599.57     | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1052537 | PA      | $1083619.55    | 0.01%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6431400 | PA      | $6368707.73    | 0.04%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6456696 | PA      | $6253937.71    | 0.04%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34430612 | PA      | $30391533.74   | 0.18%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7996665 | PA      | $7866027.63    | 0.05%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10998773 | PA      | $10765439.32   | 0.06%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1576079 | PA      | $1594442.54    | 0.01%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9567111 | PA      | $9537627.74    | 0.06%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1518396 | PA      | $1423433.71    | 0.01%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     525481 | PA      | $507685.94     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2149360 | PA      | $2065515.57    | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2791968 | PA      | $2508244.91    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5209 | PA      | $5231.91       | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1884919 | PA      | $1893201.76    | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3010717 | PA      | $3102059.27    | 0.02%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11850998 | PA      | $11018838.44   | 0.06%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     616742 | PA      | $573161.56     | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3661751 | PA      | $3716467.99    | 0.02%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8629768 | PA      | $8023798.63    | 0.05%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7537994 | PA      | $7297588.58    | 0.04%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3648619 | PA      | $3390877.10    | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85244 | PA      | $83613.70      | 0.00%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9078983 | PA      | $7693441.53    | 0.05%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36178WP45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50020 | PA      | $48442.96      | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31538 | PA      | $32982.96      | 0.00%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2322494 | PA      | $2130646.62    | 0.01%             | 2037-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179VL32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1406015 | PA      | $1263133.70    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216997 | PA      | $231309.00     | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6664 | PA      | $7047.15       | 0.00%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1360348 | PA      | $1368086.22    | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5514431 | PA      | $5699047.01    | 0.03%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34514 | PA      | $36212.63      | 0.00%             | 2039-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1313816 | PA      | $1352614.26    | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     387525 | PA      | $393226.63     | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5522681 | PA      | $5316387.34    | 0.03%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2777476 | PA      | $2724340.47    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4015506 | PA      | $3887442.03    | 0.02%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32784620 | PA      | $28938634.02   | 0.17%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179NDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1440589 | PA      | $1507357.38    | 0.01%             | 2043-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2305184 | PA      | $2352144.08    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1159410 | PA      | $1191810.25    | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WZZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1451721 | PA      | $1333128.97    | 0.01%             | 2037-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8229802 | PA      | $7264358.16    | 0.04%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3994205 | PA      | $3845610.74    | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1933173 | PA      | $1987196.06    | 0.01%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     971457 | PA      | $1000264.30    | 0.01%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17245702 | PA      | $15222596.97   | 0.09%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3173845 | PA      | $2949456.04    | 0.02%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3622A2ZK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     542676 | PA      | $521266.60     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3582775 | PA      | $3701478.72    | 0.02%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17988364 | PA      | $16499645.23   | 0.10%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6249174 | PA      | $6454051.71    | 0.04%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1539026 | PA      | $1478990.25    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149949 | PA      | $144076.69     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1546717 | PA      | $1618404.23    | 0.01%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2821900 | PA      | $2534885.30    | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145016 | PA      | $142241.23     | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     753021 | PA      | $699809.90     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WYD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1781914 | PA      | $1634571.99    | 0.01%             | 2037-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3593738 | PA      | $3559213.25    | 0.02%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3622AAYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1537861 | PA      | $1480648.99    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WSZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1695984 | PA      | $1556267.70    | 0.01%             | 2036-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2104151 | PA      | $1955511.30    | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1388717 | PA      | $1334043.79    | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1836851 | PA      | $1895245.62    | 0.01%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136304 | PA      | $140790.41     | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60223281 | PA      | $51030514.40   | 0.30%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123035 | PA      | $121025.01     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4358438 | PA      | $4220992.88    | 0.02%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     487477 | PA      | $468285.71     | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209243 | PA      | $216117.25     | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202EYM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120873 | PA      | $128844.81     | 0.00%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WKT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     368671 | PA      | $338913.37     | 0.00%             | 2036-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     645200 | PA      | $579576.97     | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2147627 | PA      | $2106540.59    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10278508 | PA      | $9072729.56    | 0.05%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4524504 | PA      | $3993781.63    | 0.02%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141037 | PA      | $126691.85     | 0.00%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38073819 | PA      | $33607354.26   | 0.20%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8550092 | PA      | $7554943.71    | 0.04%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216808 | PA      | $223210.98     | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179VDC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3999134 | PA      | $3592382.16    | 0.02%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4913324 | PA      | $4985387.32    | 0.03%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 3617G8VD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205982 | PA      | $210466.58     | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51681310 | PA      | $43802490.79   | 0.26%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202C6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2881 | PA      | $2953.61       | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202EAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10846 | PA      | $11342.38      | 0.00%             | 2034-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                  | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     223218 | PA      | $221090.18     | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                         | GLP CAPITAL LP / GLP FINANCING II INC                               | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10545000 | PA      | $10664674.22   | 0.06%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                         | GLP CAPITAL LP / GLP FINANCING II INC                               | CUSIP: 361841AX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7930000 | PA      | $7930280.00    | 0.05%             | 2036-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GMALT 2026-1 B                                  | GM FINANCIAL AUTOMOBILE LEASING TRUST 2026-1                        | CUSIP: 36273VAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2410000 | PA      | $2422582.85    | 0.01%             | 2030-01-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | GOLDMAN SACHS GROUP INC/THE                                         | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   17802000 | PA      | $16052644.64   | 0.09%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | GOLDMAN SACHS GROUP INC/THE                                         | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   20205000 | PA      | $20107671.02   | 0.12%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | GOLDMAN SACHS GROUP INC/THE                                         | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   17765000 | PA      | $18040764.11   | 0.11%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | GOLDMAN SACHS GROUP INC/THE                                         | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   18865000 | PA      | $19078466.38   | 0.11%             | 2035-10-23      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL CAP FND                           | GOLUB CAPITAL PRIVATE CREDIT FUND                                   | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |    9581000 | PA      | $9581427.84    | 0.06%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNR 2020-181 WI                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   55168553 | PA      | $6699851.37    | 0.04%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2023-69 IL                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38384AYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23984681 | PA      | $2891479.23    | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2020-173 MI                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6510889 | PA      | $931112.12     | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-82 IG                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2216972 | PA      | $344052.31     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2020-167 YI                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15282520 | PA      | $1871112.41    | 0.01%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2021-23 JI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38382NWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12514967 | PA      | $1780090.76    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2017-184 JH                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1075005 | PA      | $991780.79     | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2018-8 DA                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1174017 | PA      | $1125327.03    | 0.01%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2013-24 OI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1581789 | PA      | $258868.42     | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-63 LM                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9510000 | PA      | $8105402.98    | 0.05%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRACE 2020-GRCE A 144A                          | GRACE TRUST 2020-GRCE                                               | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5110000 | PA      | $4635935.08    | 0.03%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GSMBS 2020-INV1 A14 144A                        | GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1                       | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13256561 | PA      | $11803084.70   | 0.07%             | 2050-10-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| GSMBS 2014-EB1A 2A1 144A                        | GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                        | CUSIP: 36250BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112803 | PA      | $112342.26     | 0.00%             | 2044-07-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3 A1 144A                         | GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM3                       | CUSIP: 36274TAA7<br>LEI: 2549007JKCA9H9HUGZ71 | Long             | ABS-MBS          | CORP              | US        |    3959802 | PA      | $3982223.69    | 0.02%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INF CAP                          | HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                           | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |   30488000 | PA      | $31507681.19   | 0.18%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HARBOUR ENERGY PLC 144A                         | HARBOUR ENERGY PLC                                                  | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |   28595000 | PA      | $29765592.72   | 0.17%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| HNGRY 2024-1A A2 144A                           | HARDEE'S FUNDING LLC                                                | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11898693 | PA      | $12333174.95   | 0.07%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HNGRY 2021-1A A2 144A                           | HARDEE'S FUNDING LLC                                                | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4020550 | PA      | $3793411.44    | 0.02%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT 144A                     | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                            | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10245000 | PA      | $10657078.62   | 0.06%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                         | HCA INC                                                             | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   19960000 | PA      | $19973497.92   | 0.12%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP 144A                   | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                  | CUSIP: 42218SAM0<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   17935000 | PA      | $17409584.19   | 0.10%             | 2054-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP 144A                   | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                  | CUSIP: 42218SAL2<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    8635000 | PA      | $8856392.78    | 0.05%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP 144A                   | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                  | CUSIP: 42218SAK4<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    6825000 | PA      | $7022454.38    | 0.04%             | 2029-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                        | HEALTHCARE REALTY HOLDINGS LP                                       | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    4931000 | PA      | $4378910.71    | 0.03%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                            | HEATHROW FUNDING LTD                                                | CUSIP: YS5265238<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    1740000 | PA      | $2060486.18    | 0.01%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                            | HEATHROW FUNDING LTD                                                | CUSIP: AX5204471<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    7117000 | PA      | $7375874.37    | 0.04%             | 2034-03-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| HILCORP TL B 1L BANKDEBT                        | HILCORP ENERGY I LP                                                 | CUSIP: 000000000<br>LEI: 549300ITPIHLG0LHEC09 | Long             | LON              | CORP              | US        |   24286526 | PA      | $24256167.54   | 0.14%             | 2030-02-11      | Floating      | 5.42%                 | No            |                  3 | On Loan: No      |
| HILCORP ENERGY I/HILCORP 144A                   | HILCORP ENERGY I LP / HILCORP FINANCE CO                            | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8001000 | PA      | $8434375.02    | 0.05%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP 144A                   | HILCORP ENERGY I LP / HILCORP FINANCE CO                            | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3369648.52    | 0.02%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FIN TL B 1L BANKDEBT           | HILTON DOMESTIC OPERATIN                                            | CUSIP: 43289D9A3<br>LEI: 5493003EG7H0N1E4XV50 | Long             | LON              | CORP              | US        |   53680000 | PA      | $53853386.40   | 0.32%             | 2030-11-08      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN 144A                   | HILTON DOMESTIC OPERATING CO INC                                    | CUSIP: 432833AQ4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    2955000 | PA      | $3053627.20    | 0.02%             | 2032-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-AFC2 A1B 144A                        | HOMES 2025-AFC2 TRUST                                               | CUSIP: 43761YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2148474 | PA      | $2170131.62    | 0.01%             | 2060-06-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM2 A1 144A                         | HOMES 2025-NQM2 TRUST                                               | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9321312 | PA      | $9399120.10    | 0.06%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| HOMES 2026-AFC1 A1 144A                         | HOMES 2026-AFC1 TRUST                                               | CUSIP: 403972AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19490000 | PA      | $19509029.71   | 0.11%             | 2061-02-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| HOPPER MERGER SUB INC TL B 1L USD BANKDEBT      | HOPPER MERGER SUB INC                                               | CUSIP: 000000000<br>LEI: 9845009E9B4548A5N478 | Long             | LON              | CORP              | US        |   24900000 | PA      | $24588750.00   | 0.14%             | 2033-01-14      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP 144A                         | HOWARD HUGHES CORP/THE                                              | CUSIP: 44267DAH0<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |    3433000 | PA      | $3425284.30    | 0.02%             | 2034-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP 144A                         | HOWARD HUGHES CORP/THE                                              | CUSIP: 44267DAG2<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |    5075000 | PA      | $5072440.15    | 0.03%             | 2032-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HPEFS 2023-2A D 144A                            | HPEFS EQUIPMENT TRUST 2023-2                                        | CUSIP: 44328UAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3320000 | PA      | $3346388.02    | 0.02%             | 2031-07-21      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| HPEFS 2023-2A C 144A                            | HPEFS EQUIPMENT TRUST 2023-2                                        | CUSIP: 44328UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2099663 | PA      | $2104190.81    | 0.01%             | 2031-01-21      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-2A A3 144A                           | HPEFS EQUIPMENT TRUST 2024-2                                        | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4637722 | PA      | $4662875.41    | 0.03%             | 2031-10-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-2A B 144A                            | HPEFS EQUIPMENT TRUST 2024-2                                        | CUSIP: 40444MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2730000 | PA      | $2755622.96    | 0.02%             | 2031-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                               | HSBC HOLDINGS PLC                                                   | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8930000 | PA      | $9030172.72    | 0.05%             | 2031-11-06      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD TL B 1L BANKDEBT          | HUB INTERNATIONAL LTD                                               | CUSIP: 44332EAZ9<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |   16727607 | PA      | $16525537.76   | 0.10%             | 2030-06-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD 144A                      | HUB INTERNATIONAL LTD                                               | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    4585000 | PA      | $4728549.71    | 0.03%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HY 2025-SPRL A 144A                             | HUDSON YARDS 2025-SPRL MORTGAGE TRUST                               | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9175000 | PA      | $9566249.53    | 0.06%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                              | HUF/USD FWD 20260417 UBSWGB2L                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | HU        |          1 | NC      | $110336.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HACLN 2024-1 B1 144A                            | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1              | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5772642 | PA      | $5870736.25    | 0.03%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HACLN 2025-1 B1 144A                            | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2025-1              | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12046665 | PA      | $12146337.56   | 0.07%             | 2033-03-21      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| HART 2026-A B                                   | HYUNDAI AUTO RECEIVABLES TRUST 2026-A                               | CUSIP: 448981AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1830000 | PA      | $1842269.97    | 0.01%             | 2032-12-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| HART 2026-A C                                   | HYUNDAI AUTO RECEIVABLES TRUST 2026-A                               | CUSIP: 448981AG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3380000 | PA      | $3402122.44    | 0.02%             | 2033-06-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                             | CUSIP: 44891AEE3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   13730000 | PA      | $13854170.93   | 0.08%             | 2031-01-08      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                             | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    5630000 | PA      | $5821847.97    | 0.03%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                             | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   11135000 | PA      | $11290340.45   | 0.07%             | 2029-09-26      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                             | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3290000 | PA      | $3438550.73    | 0.02%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                             | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    6620000 | PA      | $7030842.68    | 0.04%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                             | CUSIP: 44891ADH7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    7295000 | PA      | $7424067.49    | 0.04%             | 2031-09-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                             | ICE_DOW CHEMICAL CO/THE CDS 12/20/2030 BARC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |          1 | NC      | $34805.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | ICE_ORACLE CORP CDS 12/20/2030 MSLN                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1032151.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | ICE_SES SA CDS 12/20/2030 CHAS                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |          1 | NC      | $-1059499.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                        | ICON INVESTMENTS SIX DAC                                            | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    3448000 | PA      | $3538596.91    | 0.02%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                        | ICON INVESTMENTS SIX DAC                                            | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    1369000 | PA      | $1401703.69    | 0.01%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| IMPERIAL BRANDS FIN PLC 144A                    | IMPERIAL BRANDS FINANCE PLC                                         | CUSIP: 45262BAL7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   11195000 | PA      | $11606448.73   | 0.07%             | 2055-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| IMPRL 2021-NQM2 A1 144A                         | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2                              | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8746741 | PA      | $7583662.96    | 0.04%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| INFRASTRUTTURE WIRELESS                         | INFRASTRUTTURE WIRELESS ITALIANE SPA                                | CUSIP: YQ6778167<br>LEI: 81560066183FE361C071 | Long             | DBT              | CORP              | IT        |    6003000 | PA      | $7240784.92    | 0.04%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                      | INTEL CORP                                                          | CUSIP: 458140CM0<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    5822000 | PA      | $5484869.53    | 0.03%             | 2054-02-21      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                         | INTER-AMERICAN DEVELOPMENT BANK                                     | CUSIP: YJ9986359<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | N/A       |    8115000 | PA      | $8116837.91    | 0.05%             | 2030-11-12      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                         | INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT                 | CUSIP: YV1295778<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |    6400000 | PA      | $6719590.93    | 0.04%             | 2033-07-31      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| INVCO 2021-3A A1R 144A                          | INVESCO CLO 2021-3 LTD                                              | CUSIP: 46151VAA9<br>LEI: 5493000BVI47XOSBML18 | Long             | ABS-CBDO         | CORP              | KY        |   17000000 | PA      | $17002380.00   | 0.10%             | 2034-10-22      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                             | INVITATION HOMES OPERATING PARTNERSHIP LP                           | CUSIP: 46188BAE2<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    4206000 | PA      | $4382110.44    | 0.03%             | 2030-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                             | INVITATION HOMES OPERATING PARTNERSHIP LP                           | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    4175000 | PA      | $3678885.85    | 0.02%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                          | IPALCO ENTERPRISES INC                                              | CUSIP: 462613AR1<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    9230000 | PA      | $9518979.95    | 0.06%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IQVIA INC TL B5 1L USD BANKDEBT                 | IQVIA INC                                                           | CUSIP: 44969CBP4<br>LEI: 549300PLWY28YB00C717 | Long             | LON              | CORP              | US        |   40306425 | PA      | $40289496.78   | 0.24%             | 2031-01-02      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| IQVIA INC 144A                                  | IQVIA INC                                                           | CUSIP: 46266TAD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     435000 | PA      | $447025.35     | 0.00%             | 2030-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                 | ISRAEL GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   17955000 | PA      | $18686714.80   | 0.11%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL                                          | ISRAEL GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 46515CJZ8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   12330000 | PA      | $12293356.91   | 0.07%             | 2036-01-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL 144A                   | JACKSON NATIONAL LIFE GLOBAL FUNDING                                | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    9930000 | PA      | $10269214.33   | 0.06%             | 2030-01-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                    | JANE STREET GROUP / JSG FINANCE INC                                 | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9630000 | PA      | $9880063.60    | 0.06%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                    | JANE STREET GROUP / JSG FINANCE INC                                 | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4352000 | PA      | $4508592.19    | 0.03%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                    | JANE STREET GROUP / JSG FINANCE INC                                 | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2020000 | PA      | $2026541.90    | 0.01%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC TL B 1L BANKDEBT          | JANE STREET GROUP LLC                                               | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    7681518 | PA      | $7429103.75    | 0.04%             | 2031-12-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| NAVACORD TL 1L BANKDEBT                         | JONES DESLAURIERS INSURA                                            | CUSIP: 000000000<br>LEI: 549300JQIWNFU00E5424 | Long             | LON              | CORP              | CA        |    1542078 | PA      | $1478467.37    | 0.01%             | 2033-02-02      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA 144A                   | JONES DESLAURIERS INSURANCE MANAGEMENT INC                          | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |    3183000 | PA      | $3302767.04    | 0.02%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JPMCC 2018-WPT AFX 144A                         | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT       | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9825000 | PA      | $9370593.75    | 0.05%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMMT 2019-INV3 A3 144A                         | JP MORGAN MORTGAGE TRUST 2019-INV3                                  | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3382947 | PA      | $3135086.29    | 0.02%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2020-INV1 A3 144A                         | JP MORGAN MORTGAGE TRUST 2020-INV1                                  | CUSIP: 46591VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3031272 | PA      | $2801090.79    | 0.02%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2020-LTV1 A3 144A                         | JP MORGAN MORTGAGE TRUST 2020-LTV1                                  | CUSIP: 46591NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81236 | PA      | $80864.02      | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2020-LTV1 A15 144A                        | JP MORGAN MORTGAGE TRUST 2020-LTV1                                  | CUSIP: 46591NBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32837 | PA      | $32676.56      | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-DSC2 A1 144A                         | JP MORGAN MORTGAGE TRUST 2025-DSC2                                  | CUSIP: 46659VAA6<br>LEI: 529900SXYOW2J5ABY729 | Long             | ABS-MBS          | CORP              | US        |    9702271 | PA      | $9768279.89    | 0.06%             | 2065-10-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-NMQ3 A1 144A                         | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM3                           | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13555283 | PA      | $13684188.43   | 0.08%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                 | CUSIP: 46647PFE1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   10785000 | PA      | $10753724.50   | 0.06%             | 2036-10-22      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                 | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   12805000 | PA      | $12989535.93   | 0.08%             | 2035-10-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                 | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8860000 | PA      | $9226154.69    | 0.05%             | 2035-01-23      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                 | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4475000 | PA      | $4198376.54    | 0.02%             | 2031-04-22      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                 | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   17695000 | PA      | $18016472.78   | 0.11%             | 2030-10-22      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                 | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   38833000 | PA      | $36919912.23   | 0.22%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                 | CUSIP: 46647PFJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   25345000 | PA      | $25481964.64   | 0.15%             | 2037-01-22      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                           | KENTUCKY UTILITIES CO                                               | CUSIP: 491674BP1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |    1735000 | PA      | $1786536.76    | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP 144A                        | KINETIK HOLDINGS LP                                                 | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |     593000 | PA      | $611461.80     | 0.00%             | 2028-12-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| KKR 34A AR 144A                                 | KKR CLO 34 LTD                                                      | CUSIP: 48253UAJ5<br>LEI: 254900DSRKUNUNRNUG13 | Long             | ABS-CBDO         | CORP              | KY        |   22740000 | PA      | $22742296.74   | 0.13%             | 2034-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| KKR 40A AR 144A                                 | KKR CLO 40 LTD                                                      | CUSIP: 48254UAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    7130000 | PA      | $7141828.67    | 0.04%             | 2034-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| KKR 2022-43A A1R 144A                           | KKR CLO 43 LTD                                                      | CUSIP: 48255UAJ3<br>LEI: 25490088LQLWORRKOM10 | Long             | ABS-CBDO         | CORP              | JE        |   11620000 | PA      | $11631073.86   | 0.07%             | 2036-01-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                   | KZT/USD FWD 20260410 DEUTGB2L                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | KZ        |          1 | NC      | $257141.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP TL B 1L BANKDEBT               | LAMAR MEDIA CORP                                                    | CUSIP: 513076BE8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   16225000 | PA      | $16204718.75   | 0.09%             | 2032-09-23      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| LANDSBANKINN HF                                 | LANDSBANKINN HF                                                     | CUSIP: ZD4547497<br>LEI: 549300TLZPT6JELDWM92 | Long             | DBT              | CORP              | IS        |    1490000 | PA      | $1842169.08    | 0.01%             | 2028-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Landsvirkjun Series B Senior Green Notes        | LANDSVIRKJUN SERIES A SNR GREEN NOTES PP                            | CUSIP: 000000000<br>LEI: 213800Z3CFZOLXPJWN61 | Long             | DBT              | CORP              | IS        |    2435000 | PA      | $2456915.00    | 0.01%             | 2033-05-15      | Fixed         | 5.37%                 | Yes           |                  3 | On Loan: No      |
| LAS VEGAS SANDS CORP                            | LAS VEGAS SANDS CORP                                                | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   10677000 | PA      | $10633648.93   | 0.06%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                      | LEIDOS INC                                                          | CUSIP: 52532XAM7<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    4205000 | PA      | $4214479.19    | 0.02%             | 2029-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 TL B4 1L BANKDEBT                       | LEVEL 3 FINANCING INC                                               | CUSIP: 52729KAU0<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |    8535000 | PA      | $8547802.50    | 0.05%             | 2032-03-29      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC 144A                      | LEVEL 3 FINANCING INC                                               | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |   10240000 | PA      | $10643517.37   | 0.06%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                          | LOGICOR FINANCING SARL                                              | CUSIP: YW3213660<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    3095000 | PA      | $3797313.67    | 0.02%             | 2029-07-18      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                          | LOGICOR FINANCING SARL                                              | CUSIP: ZF4260518<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    3055000 | PA      | $3751201.46    | 0.02%             | 2028-07-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE GAS & ELEC                           | LOUISVILLE GAS AND ELECTRIC CO                                      | CUSIP: 546676BA4<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |    1735000 | PA      | $1779490.33    | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                | LPL HOLDINGS INC                                                    | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    3465000 | PA      | $3520503.32    | 0.02%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                            | M&T BANK CORP                                                       | CUSIP: 55261FAZ7<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   12909000 | PA      | $13099547.45   | 0.08%             | 2035-07-30      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| MA'ADEN SUKUK LTD 144A                          | MA'ADEN SUKUK LTD                                                   | CUSIP: 55407NAB8<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | NUSS              | KY        |    5633000 | PA      | $5829741.80    | 0.03%             | 2035-02-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| MA'ADEN SUKUK LTD 144A                          | MA'ADEN SUKUK LTD                                                   | CUSIP: 55407NAA0<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | NUSS              | KY        |    8200000 | PA      | $8442536.47    | 0.05%             | 2030-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MDPK 2022-60A BR 144A                           | MADISON PARK FUNDING LX LTD                                         | CUSIP: 557910AS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6270000 | PA      | $6282765.72    | 0.04%             | 2037-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MDPK 2020-47A BR 144A                           | MADISON PARK FUNDING XLVII LTD                                      | CUSIP: 55820FAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4002876.00    | 0.02%             | 2037-04-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MDPK 2020-47A A1R 144A                          | MADISON PARK FUNDING XLVII LTD                                      | CUSIP: 55820FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5495000 | PA      | $5499852.09    | 0.03%             | 2037-04-19      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| MDPK 2019-35A A1R2 144A                         | MADISON PARK FUNDING XXXV LTD                                       | CUSIP: 55819MBC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12605000 | PA      | $12591399.21   | 0.07%             | 2039-02-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| MARS INC 144A                                   | MARS INC                                                            | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   11635000 | PA      | $11907491.40   | 0.07%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                          | MARVELL TECHNOLOGY INC                                              | CUSIP: 573874AS3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   10260000 | PA      | $10656965.18   | 0.06%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| MARVELL TECHNOLOGY INC                          | MARVELL TECHNOLOGY INC                                              | CUSIP: 573874AJ3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   13927000 | PA      | $13016423.48   | 0.08%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                          | MARVELL TECHNOLOGY INC                                              | CUSIP: 573874AR5<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |    2375000 | PA      | $2421398.56    | 0.01%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO 144A                       | MATADOR RESOURCES CO                                                | CUSIP: 576485AJ5<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |     770000 | PA      | $770938.96     | 0.00%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC 144A                     | MATCH GROUP HOLDINGS II LLC                                         | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    5548000 | PA      | $5536043.10    | 0.03%             | 2033-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MED 2024-MOB A 144A                             | MED COMMERCIAL MORTGAGE TRUST 2024-MOB                              | CUSIP: 55287BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13148793 | PA      | $13090119.14   | 0.08%             | 2041-05-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MEDLINE TL B 1L BANKDEBT                        | MEDLINE BORROWER LP                                                 | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |     694171 | PA      | $694920.38     | 0.00%             | 2028-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP 144A                        | MEDLINE BORROWER LP                                                 | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   16662000 | PA      | $16387151.98   | 0.10%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MEDLINE TL B 1L BANKDEBT                        | MEDLINE BORROWER LP                                                 | CUSIP: 58503UAJ2<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    6338923 | PA      | $6349318.89    | 0.04%             | 2030-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP 144A                        | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                           | CUSIP: 58506DAA6<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   12811000 | PA      | $13221000.66   | 0.08%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                              | META PLATFORMS INC                                                  | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   13900000 | PA      | $13725109.61   | 0.08%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                              | META PLATFORMS INC                                                  | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   32960000 | PA      | $32262076.79   | 0.19%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                              | META PLATFORMS INC                                                  | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   11265000 | PA      | $11369103.51   | 0.07%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                           | MEXICO GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    8870000 | PA      | $8902446.03    | 0.05%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                           | MEXICO GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 91087BBR0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   16480000 | PA      | $16721438.90   | 0.10%             | 2038-02-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                             | MIDCAP FINANCIAL SR UNSECURED FRN 144A P                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16500000 | PA      | $16535602.68   | 0.10%             | 2029-04-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| MINERA MEXICO SA DE CV 144A                     | MINERA MEXICO SA DE CV                                              | CUSIP: 60284MAC6<br>LEI: 2549005BMA2EK49I0T98 | Long             | DBT              | CORP              | MX        |   24830000 | PA      | $25931654.37   | 0.15%             | 2032-02-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MMAF 2021-A A5 144A                             | MMAF EQUIPMENT FINANCE LLC 2021-A                                   | CUSIP: 55317JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5020000 | PA      | $5013951.90    | 0.03%             | 2043-11-13      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| MMAF 2024-A A3 144A                             | MMAF EQUIPMENT FINANCE LLC 2024-A                                   | CUSIP: 55318CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23220000 | PA      | $23617746.99   | 0.14%             | 2031-07-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC 144A                      | MOLINA HEALTHCARE INC                                               | CUSIP: 60855RAN0<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    1515000 | PA      | $1520904.38    | 0.01%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | MORGAN STANLEY                                                      | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4674000 | PA      | $4836089.43    | 0.03%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | MORGAN STANLEY                                                      | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7595000 | PA      | $8026123.00    | 0.05%             | 2036-04-17      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | MORGAN STANLEY                                                      | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   15220000 | PA      | $15641498.87   | 0.09%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-DSC2 A1 144A                          | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2            | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3113041 | PA      | $3149563.63    | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM5 A1 144A                          | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5            | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3207152 | PA      | $3237283.22    | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                          | MOTOROLA SOLUTIONS INC                                              | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    7860000 | PA      | $8203463.41    | 0.05%             | 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        |   15800000 | PA      | $16629064.24   | 0.10%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MVWOT 2023-1A A 144A                            | MVW 2023-1 LLC                                                      | CUSIP: 62848PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10508632 | PA      | $10659379.07   | 0.06%             | 2040-10-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| MVWOT 2023-2A A 144A                            | MVW 2023-2 LLC                                                      | CUSIP: 55400WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2991930 | PA      | $3082746.66    | 0.02%             | 2040-11-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| MVWOT 2023-2A B 144A                            | MVW 2023-2 LLC                                                      | CUSIP: 55400WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2004856 | PA      | $2054459.02    | 0.01%             | 2040-11-20      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | MYR/USD FWD 20260309 CHASGB2L                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MY        |          1 | NC      | $2261671.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                   | MYR/USD FWD 20260309 SCBLGB2L                                       | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | MY        |          1 | NC      | $-1436246.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NAT GRID ELECTY EM                              | NATIONAL GRID ELECTRICITY DISTRIBUTION EAST MIDLANDS PLC            | CUSIP: BY9532239<br>LEI: 549300KXFU5Q7NZE9L79 | Long             | DBT              | CORP              | GB        |    3070000 | PA      | $3776527.62    | 0.02%             | 2032-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                    | NAVIENT CORP                                                        | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    7770000 | PA      | $7864458.70    | 0.05%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                    | NAVIENT CORP                                                        | CUSIP: 63938CAQ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    2924000 | PA      | $2721432.85    | 0.02%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| SLM CORP                                        | NAVIENT CORP                                                        | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    3850000 | PA      | $3163453.40    | 0.02%             | 2033-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                    | NAVIENT CORP                                                        | CUSIP: 63938CAP3<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    4760000 | PA      | $5051353.62    | 0.03%             | 2031-03-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| NAVSL 2020-CA B 144A                            | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                    | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20755000 | PA      | $18974744.03   | 0.11%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| NAVRL 2026-A A 144A                             | NAVIENT REFINANCE LOAN TRUST 2026-A                                 | CUSIP: 63943HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8345000 | PA      | $8377492.03    | 0.05%             | 2056-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NAVMT 2025-1 A 144A                             | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST II 2025-1         | CUSIP: 63938PBZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13710000 | PA      | $13772198.16   | 0.08%             | 2030-09-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                      | NBN CO LTD                                                          | CUSIP: ZL1819206<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |    2870000 | PA      | $3646183.52    | 0.02%             | 2033-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                      | NBN CO LTD                                                          | CUSIP: ZL1819172<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |    2965000 | PA      | $3652490.25    | 0.02%             | 2029-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NEUB 2016-21A A1R3 144A                         | NEUBERGER BERMAN CLO XXI LTD                                        | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |   17895000 | PA      | $17955753.53   | 0.11%             | 2039-01-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| NEUB 2021-43A AR 144A                           | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                           | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |    9410000 | PA      | $9398736.23    | 0.06%             | 2036-07-17      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| NRZT 2021-INV2 A4 144A                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                       | CUSIP: 64831GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9308176 | PA      | $7935258.08    | 0.05%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM3 A1 144A                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM3                       | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |   15139615 | PA      | $15378972.24   | 0.09%             | 2065-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM4 A1 144A                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                       | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   23464572 | PA      | $23759195.02   | 0.14%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                          | NEXTERA ENERGY CAPITAL HOLDINGS INC                                 | CUSIP: 65339KDX5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   25300000 | PA      | $25439655.16   | 0.15%             | 2056-03-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| NFL SR SECURED NOTE PP                          | NFL SR SECURED NOTE PP                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9520000 | PA      | $9520000.00    | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                       | NIAGARA MOHAWK POWER CORP                                           | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    5770000 | PA      | $5892927.33    | 0.03%             | 2055-07-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                       | NIAGARA MOHAWK POWER CORP                                           | CUSIP: 65364UAU0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    9190000 | PA      | $9017560.51    | 0.05%             | 2054-01-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                       | NIAGARA MOHAWK POWER CORP                                           | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   10185000 | PA      | $10348675.59   | 0.06%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE 144A                    | NISSAN MOTOR ACCEPTANCE CO LLC                                      | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3407568.45    | 0.02%             | 2030-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO 144A                            | NISSAN MOTOR CO LTD                                                 | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    2910000 | PA      | $3071320.37    | 0.02%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NMEF 2026-A A3 144A                             | NMEF FUNDING 2026-A LLC                                             | CUSIP: 62919FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1740000 | PA      | $1745997.43    | 0.01%             | 2034-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NMEF 2026-A B 144A                              | NMEF FUNDING 2026-A LLC                                             | CUSIP: 62919FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1105000 | PA      | $1109849.51    | 0.01%             | 2034-02-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| WOODS 2018-12BA BR 144A                         | NORTHWOODS CAPITAL XII-B LTD                                        | CUSIP: 66858CAQ0<br>LEI: 549300R06FSYRU75ZW78 | Long             | ABS-CBDO         | CORP              | KY        |   10175000 | PA      | $10192155.05   | 0.06%             | 2031-06-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| WOODS 2018-14BA AR 144A                         | NORTHWOODS CAPITAL XIV-B LTD                                        | CUSIP: 66860CAL7<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |   11945199 | PA      | $11971669.93   | 0.07%             | 2031-11-13      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC TL B 1L BANKDEBT                 | NRG ENERGY INC                                                      | CUSIP: 62937NBC0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | LON              | CORP              | US        |   75853592 | PA      | $75984059.77   | 0.45%             | 2031-04-16      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 144A                             | NRG ENERGY INC                                                      | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    3035000 | PA      | $3088974.89    | 0.02%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                           | NTT FINANCE CORP                                                    | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    4860000 | PA      | $4986531.93    | 0.03%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                           | NTT FINANCE CORP                                                    | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    7105000 | PA      | $7416419.34    | 0.04%             | 2035-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                           | NTT FINANCE CORP                                                    | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    3650000 | PA      | $3774118.06    | 0.02%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                          | NXP BV / NXP FUNDING LLC / NXP USA INC                              | CUSIP: 62954HAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   11284000 | PA      | $8401828.44    | 0.05%             | 2042-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                          | NXP BV / NXP FUNDING LLC / NXP USA INC                              | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   33796000 | PA      | $22667506.76   | 0.13%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXPT 2024-STOR A 144A                           | NXPT COMMERCIAL MORTGAGE TRUST 2024-STOR                            | CUSIP: 67119YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5070000 | PA      | $5065462.35    | 0.03%             | 2041-11-05      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| NYMT 2025-INV1 A1 144A                          | NYMT LOAN TRUST 2025-INV1                                           | CUSIP: 67120YAC3<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |    2179300 | PA      | $2196575.09    | 0.01%             | 2060-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 A25 144A                          | OBX 2019-INV2 TRUST                                                 | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     698430 | PA      | $667760.78     | 0.00%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 A5 144A                           | OBX 2019-INV2 TRUST                                                 | CUSIP: 67112VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1890362 | PA      | $1812422.65    | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP1 1A8 144A                          | OBX 2020-EXP1 TRUST                                                 | CUSIP: 67448TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3409542 | PA      | $3141306.58    | 0.02%             | 2060-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 A8 144A                           | OBX 2020-EXP2 TRUST                                                 | CUSIP: 67448VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390140 | PA      | $353249.73     | 0.00%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 A1F 144A                         | OBX 2025-NQM15 TRUST                                                | CUSIP: 67122CAD7<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |    6091264 | PA      | $6096932.64    | 0.04%             | 2065-07-27      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 A1 144A                          | OBX 2025-NQM15 TRUST                                                | CUSIP: 67122CAC9<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |    5757322 | PA      | $5801308.44    | 0.03%             | 2065-07-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | OCCIDENTAL PETROLEUM CORP                                           | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   26910000 | PA      | $31262548.29   | 0.18%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | OCCIDENTAL PETROLEUM CORP                                           | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    2261000 | PA      | $2361268.01    | 0.01%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | OCCIDENTAL PETROLEUM CORP                                           | CUSIP: 674599EM3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    8515000 | PA      | $8482086.35    | 0.05%             | 2054-10-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| OCP 2017-13A AR2 144A                           | OCP CLO 2017-13 LTD                                                 | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   10370000 | PA      | $10399658.20   | 0.06%             | 2037-11-26      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| OCP 2017-13A B1R2 144A                          | OCP CLO 2017-13 LTD                                                 | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    7015000 | PA      | $7031899.14    | 0.04%             | 2037-11-26      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-3A C 144A                             | OCTANE RECEIVABLES TRUST 2023-3                                     | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1160000 | PA      | $1186207.18    | 0.01%             | 2029-08-20      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-3A B 144A                             | OCTANE RECEIVABLES TRUST 2023-3                                     | CUSIP: 67571CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3023000 | PA      | $3055443.74    | 0.02%             | 2029-07-20      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| OCTL 2024-1A A2 144A                            | OCTANE RECEIVABLES TRUST 2024-1                                     | CUSIP: 67571FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2875866 | PA      | $2895042.04    | 0.02%             | 2030-05-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| OCTL 2025-RVM1 A 144A                           | OCTANE RECEIVABLES TRUST 2025-RVM1                                  | CUSIP: 67571HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8231808 | PA      | $8269999.18    | 0.05%             | 2046-12-20      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                            | ONEMAIN FINANCE CORP                                                | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    2685000 | PA      | $2772055.85    | 0.02%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                       | ONEOK INC                                                           | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   25359000 | PA      | $27234373.91   | 0.16%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO 144A                                 | OPAL BIDCO SAS                                                      | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |    2281000 | PA      | $2348650.07    | 0.01%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPELLA TL B 1L BANKDEBT                         | OPAL US LLC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   12045000 | PA      | $12026932.50   | 0.07%             | 2032-04-28      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                     | ORACLE CORP                                                         | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    9120000 | PA      | $8745859.44    | 0.05%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                     | ORACLE CORP                                                         | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    8785000 | PA      | $8490006.42    | 0.05%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                     | ORACLE CORP                                                         | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10390000 | PA      | $10393430.83   | 0.06%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                     | ORACLE CORP                                                         | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6965000 | PA      | $6808180.78    | 0.04%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                     | ORACLE CORP                                                         | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   47585000 | PA      | $41843049.56   | 0.25%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ORANGE SA 144A                                  | ORANGE SA                                                           | CUSIP: 685218AF6<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |   13375000 | PA      | $13424959.47   | 0.08%             | 2036-01-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORANGE SA 144A                                  | ORANGE SA                                                           | CUSIP: 685218AD1<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |    6620000 | PA      | $6630712.63    | 0.04%             | 2031-01-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB 144A                     | ORBIA ADVANCE CORP SAB DE CV                                        | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |   11045000 | PA      | $11135859.35   | 0.07%             | 2030-05-13      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| OZLMF 2012-2A AR4 144A                          | OZLM FUNDING II LTD                                                 | CUSIP: 67108BCG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11450000 | PA      | $11458381.40   | 0.07%             | 2037-07-30      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                         | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    6018000 | PA      | $4137510.16    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                         | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3326000 | PA      | $3239410.58    | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                         | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5605000 | PA      | $4837758.23    | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                         | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    7465000 | PA      | $7602176.51    | 0.04%             | 2028-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                         | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   13330000 | PA      | $13586500.39   | 0.08%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                         | CUSIP: 694308LB1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    6435000 | PA      | $6350324.01    | 0.04%             | 2056-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                         | CUSIP: 694308LA3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    8655000 | PA      | $8680469.42    | 0.05%             | 2036-05-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PALOMINO FUNDING TRUST I 144A                   | PALOMINO FUNDING TRUST I                                            | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9700000 | PA      | $10251972.48   | 0.06%             | 2028-05-17      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER 144A                      | PANTHER ESCROW ISSUER LLC                                           | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3040000 | PA      | $3092151.63    | 0.02%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                     | PAYCHEX INC                                                         | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    6070000 | PA      | $6220196.41    | 0.04%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| PERMIAN RESOURC OPTG LLC 144A                   | PERMIAN RESOURCES OPERATING LLC                                     | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    3085000 | PA      | $3188834.61    | 0.02%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PERU                                            | PERUVIAN GOVERNMENT INTERNATIONAL BOND                              | CUSIP: 715638FD9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   16970000 | PA      | $17882221.46   | 0.10%             | 2055-06-30      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | PETROLEOS MEXICANOS                                                 | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   17110000 | PA      | $16782405.49   | 0.10%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | PETROLEOS MEXICANOS                                                 | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   25660000 | PA      | $27620039.15   | 0.16%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | PETROLEOS MEXICANOS                                                 | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   21165000 | PA      | $24769718.39   | 0.15%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| PHILIP MORRIS INTL INC                          | PHILIP MORRIS INTERNATIONAL INC                                     | CUSIP: 718172EA3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   16945000 | PA      | $16765743.97   | 0.10%             | 2035-10-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                 | PHP/USD FWD 20260306 BOFAUS6N                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $-237230.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | PHP/USD FWD 20260306 CHASGB2L                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $-472515.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                   | PHP/USD FWD 20260306 DEUTGB2L                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $-242695.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                              | PHP/USD FWD 20260306 GSILGB2X                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $1007261.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                   | PHP/USD FWD 20260306 SCBLGB2L                                       | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | PH        |          1 | NC      | $-241612.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                          | PNC FINANCIAL SERVICES GROUP INC/THE                                | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    8445000 | PA      | $8895123.20    | 0.05%             | 2036-01-29      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                          | PNC FINANCIAL SERVICES GROUP INC/THE                                | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    5710000 | PA      | $5914554.40    | 0.03%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PREF 2024-1A A2 144A                            | POST ROAD EQUIPMENT FINANCE 2024-1 LLC                              | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     945732 | PA      | $948925.75     | 0.01%             | 2029-11-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| PRAEMIA HEALTHCARE SACA                         | PRAEMIA HEALTHCARE SACA                                             | CUSIP: DA8983425<br>LEI: 96950067NFR9MWI0CJ45 | Long             | DBT              | CORP              | FR        |    7200000 | PA      | $8562169.00    | 0.05%             | 2032-06-05      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR8 B 144A                           | PROGRESS RESIDENTIAL 2021-SFR8 TRUST                                | CUSIP: 74333TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4920000 | PA      | $4842794.38    | 0.03%             | 2038-10-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US 144A                       | PROLOGIS TARGETED US LOGISTICS FUND LP                              | CUSIP: 74350LAD6<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |    8500000 | PA      | $8519054.58    | 0.05%             | 2031-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US 144A                       | PROLOGIS TARGETED US LOGISTICS FUND LP                              | CUSIP: 74350LAE4<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |    9215000 | PA      | $9104464.49    | 0.05%             | 2036-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                       | PROSUS NV                                                           | CUSIP: BT4891235<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    1710000 | PA      | $1938554.90    | 0.01%             | 2030-01-19      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                         | PUBLIC SERVICE CO OF OKLAHOMA                                       | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   19460000 | PA      | $20164516.94   | 0.12%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC 144A                      | QNITY ELECTRONICS INC                                               | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |     335000 | PA      | $348064.11     | 0.00%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC TL B 1L BANKDEBT          | QUIKRETE HOLDINGS INC                                               | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |    8784652 | PA      | $8775691.37    | 0.05%             | 2032-01-30      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC 144A                      | QUIKRETE HOLDINGS INC                                               | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    5039000 | PA      | $5237749.76    | 0.03%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE 144A                       | RAIZEN FUELS FINANCE SA                                             | CUSIP: 75102XAD8<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |   19650000 | PA      | $8674731.99    | 0.05%             | 2035-01-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE 144A                       | RAIZEN FUELS FINANCE SA                                             | CUSIP: 75102XAB2<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |    3860000 | PA      | $1719472.51    | 0.01%             | 2034-03-05      | Fixed         | 6.45%                 | No            |                  2 | On Loan: —       |
| RAIZEN FUELS FINANCE 144A                       | RAIZEN FUELS FINANCE SA                                             | CUSIP: 75102XAE6<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |    5930000 | PA      | $2663391.82    | 0.02%             | 2037-02-25      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| RITCHIE BROS AUCTIONEERS 144A                   | RB GLOBAL HOLDINGS INC                                              | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |    3662000 | PA      | $3806635.73    | 0.02%             | 2031-03-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| REALT 2025-1A A1 144A                           | REAL ESTATE ASSET LIQUIDITY TRUST                                   | CUSIP: 75585RSS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   46762632 | PA      | $34530400.81   | 0.20%             | 2060-01-12      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                              | REALTY INCOME CORP                                                  | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    2805000 | PA      | $2884198.82    | 0.02%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                              | REGAL REXNORD CORP                                                  | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |   16795000 | PA      | $17415301.01   | 0.10%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| REG16 2019-2A A1R2 144A                         | REGATTA XVI FUNDING LTD                                             | CUSIP: 75888TAY1<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |   16575000 | PA      | $16557115.58   | 0.10%             | 2039-04-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MACLEAN TL B 1L BANKDEBT                        | RESILIENCE PARENT LLC                                               | CUSIP: 75908HAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4370000 | PA      | $4359075.00    | 0.03%             | 2033-01-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| REVVITY INC                                     | REVVITY INC                                                         | CUSIP: 714046AM1<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    5508000 | PA      | $5216084.32    | 0.03%             | 2028-09-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| REVVITY INC                                     | REVVITY INC                                                         | CUSIP: 714046AN9<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    7580000 | PA      | $6743141.66    | 0.04%             | 2031-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING 144A                         | RGA GLOBAL FUNDING                                                  | CUSIP: 76209PAJ2<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   10725000 | PA      | $10884572.15   | 0.06%             | 2032-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RIVIAN HLD/AUTO LLC 144A                        | RIVIAN HOLDINGS LLC/RIVIAN LLC/RIVIAN AUTOMOTIVE LLC                | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5240000 | PA      | $4957386.76    | 0.03%             | 2031-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ROCKT 2019-2A AR2 144A                          | ROCKFORD TOWER CLO 2019-2 LTD                                       | CUSIP: 77341GAS9<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |    6731014 | PA      | $6743567.30    | 0.04%             | 2032-08-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ROCKT 2021-2A A1R 144A                          | ROCKFORD TOWER CLO 2021-2 LTD                                       | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5515000 | PA      | $5520515.00    | 0.03%             | 2034-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                        | ROGERS COMMUNICATIONS INC                                           | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   18431000 | PA      | $18844177.13   | 0.11%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                        | ROGERS COMMUNICATIONS INC                                           | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   20675000 | PA      | $21102268.82   | 0.12%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                    | ROMANIAN GOVERNMENT INTERNATIONAL BOND                              | CUSIP: YK6552730<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    9250000 | PA      | $11334947.36   | 0.07%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                    | ROMANIAN GOVERNMENT INTERNATIONAL BOND                              | CUSIP: 77586RAX8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   23772000 | PA      | $25332483.94   | 0.15%             | 2036-05-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                    | ROMANIAN GOVERNMENT INTERNATIONAL BOND                              | CUSIP: 775921AA7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   11930000 | PA      | $11902615.71   | 0.07%             | 2036-07-04      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RRAM 2024-28RA A1R 144A                         | RR 28 LTD                                                           | CUSIP: 74989NAA7<br>LEI: 254900ZSKVCYOXP11C98 | Long             | ABS-CBDO         | CORP              | KY        |   21300000 | PA      | $21312311.40   | 0.12%             | 2037-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| RRAM 2024-34RA A2AR 144A                        | RR 34 LTD                                                           | CUSIP: 74988WAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8260000 | PA      | $8260256.06    | 0.05%             | 2039-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| RTE RESEAU DE TRANSPORT                         | RTE RESEAU DE TRANSPORT D'ELECTRICITE SADIR                         | CUSIP: AU5894319<br>LEI: 969500JRJW0K2ET1UP76 | Long             | DBT              | CORP              | FR        |    3900000 | PA      | $4313047.77    | 0.03%             | 2030-09-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                        | RTX CORP                                                            | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    4750000 | PA      | $3156773.15    | 0.02%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                        | RTX CORP                                                            | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    5881000 | PA      | $6153638.49    | 0.04%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                        | RTX CORP                                                            | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    6594000 | PA      | $4209773.71    | 0.02%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GLOBAL 144A                   | SAMMONS FINANCIAL GROUP GLOBAL FUNDING                              | CUSIP: 79587J2B8<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    4775000 | PA      | $4855192.31    | 0.03%             | 2028-01-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GLOBAL 144A                   | SAMMONS FINANCIAL GROUP GLOBAL FUNDING                              | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9241890.11    | 0.05%             | 2029-12-10      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GLOBAL 144A                   | SAMMONS FINANCIAL GROUP GLOBAL FUNDING                              | CUSIP: 79587J2E2<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    6760000 | PA      | $6830805.69    | 0.04%             | 2030-12-12      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SANDISK TL 1L BANKDEBT                          | SANDISK CORP                                                        | CUSIP: 80004YAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     368488 | PA      | $368488.37     | 0.00%             | 2032-02-20      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| SBCLN 2023-B B 144A                             | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-B               | CUSIP: 80290CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     255321 | PA      | $258819.01     | 0.00%             | 2033-12-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| SBCLN 2025-A B 144A                             | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A               | CUSIP: 80290CCR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     710000 | PA      | $714070.43     | 0.00%             | 2034-01-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| SBCLN 2025-A A2 144A                            | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A               | CUSIP: 80290CCQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3857965 | PA      | $3875207.00    | 0.02%             | 2034-01-16      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| SDART 2025-1 A3                                 | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-1                       | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7009247 | PA      | $7027106.20    | 0.04%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SDART 2025-4 A3                                 | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4                       | CUSIP: 802923AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5125000 | PA      | $5152951.75    | 0.03%             | 2030-04-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| SDART 2026-1 B                                  | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1                       | CUSIP: 80288FAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10870000 | PA      | $10903799.18   | 0.06%             | 2032-04-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| SDART 2026-1 A3                                 | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1                       | CUSIP: 80288FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7295000 | PA      | $7309324.46    | 0.04%             | 2030-07-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                          | SANTANDER HOLDINGS USA INC                                          | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    9975000 | PA      | $10194816.49   | 0.06%             | 2029-03-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| SAN 2025-NQM2 A1 144A                           | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM2                 | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7558312 | PA      | $7648477.15    | 0.04%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                            | SARTORIUS FINANCE BV                                                | CUSIP: ZI6854262<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |   14300000 | PA      | $18049803.63   | 0.11%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SAUDI TELECOM CO 144A                           | SAUDI TELECOM CO                                                    | CUSIP: 78478GAA1<br>LEI: 21380028ATJ79OTA9W17 | Long             | DBT              | CORP              | SA        |   22197000 | PA      | $21994374.12   | 0.13%             | 2029-05-13      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                            | SBA TOWER TRUST                                                     | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17515000 | PA      | $15986155.93   | 0.09%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                            | SBA TOWER TRUST                                                     | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17915000 | PA      | $18168946.92   | 0.11%             | 2029-10-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                            | SBA TOWER TRUST                                                     | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21685000 | PA      | $21144065.51   | 0.12%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| SCUL 27A BRR 144A                               | SCULPTOR CLO XXVII LTD                                              | CUSIP: 81124UBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6490000 | PA      | $6490000.00    | 0.04%             | 2037-04-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| SDR 2024-DSNY A 144A                            | SDR COMMERCIAL MORTGAGE TRUST 2024-DSNY                             | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24450000 | PA      | $24434718.75   | 0.14%             | 2039-05-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SEB4P 2024-1A A2 144A                           | SEB FUNDING LLC                                                     | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18126000 | PA      | $18635173.84   | 0.11%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SSTRT 2025-B B 144A                             | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-B                      | CUSIP: 81378WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    5689872 | PA      | $5753621.69    | 0.03%             | 2032-12-29      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| SEGRO CAPITAL SARL                              | SEGRO CAPITAL SARL                                                  | CUSIP: BV2275139<br>LEI: 549300HY425AKJLQVX75 | Long             | DBT              | CORP              | LU        |    1685000 | PA      | $1927424.27    | 0.01%             | 2030-03-23      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH1 A2 144A                           | SEQUOIA MORTGAGE TRUST 2018-CH1                                     | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     465124 | PA      | $433963.96     | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH2 A3 144A                           | SEQUOIA MORTGAGE TRUST 2018-CH2                                     | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1971991 | PA      | $1878216.60    | 0.01%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH3 A2 144A                           | SEQUOIA MORTGAGE TRUST 2018-CH3                                     | CUSIP: 81746WAB4<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |      79439 | PA      | $79126.21      | 0.00%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST 144A                   | SERVICE PROPERTIES TRUST                                            | CUSIP: 81761LAC6<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    4990000 | PA      | $5249588.84    | 0.03%             | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST 144A                   | SERVICE PROPERTIES TRUST                                            | CUSIP: 81761LAF9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    1545000 | PA      | $1409846.94    | 0.01%             | 2027-09-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-1A C 144A                            | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                    | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2340000 | PA      | $2414605.28    | 0.01%             | 2032-01-20      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-1A A4 144A                           | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                    | CUSIP: 78435VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4615000 | PA      | $4689972.98    | 0.03%             | 2031-01-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-2A B 144A                            | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                    | CUSIP: 78397XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2920000 | PA      | $3013347.14    | 0.02%             | 2030-08-20      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-2A A3 144A                           | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                    | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11247978 | PA      | $11374712.38   | 0.07%             | 2029-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| SFAST 2026-1A A4 144A                           | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1                    | CUSIP: 81885FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7100000 | PA      | $7133387.75    | 0.04%             | 2032-01-20      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| SFAST 2026-1A B 144A                            | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1                    | CUSIP: 81885FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5995000 | PA      | $6026333.47    | 0.04%             | 2032-06-21      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                             | SHERWIN-WILLIAMS CO/THE                                             | CUSIP: 824348BW5<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    1732000 | PA      | $1779769.59    | 0.01%             | 2035-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SRFC 2022-3A B 144A                             | SIERRA TIMESHARE 2022-3 RECEIVABLES FUNDING LLC                     | CUSIP: 826934AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     684412 | PA      | $696971.59     | 0.00%             | 2039-07-20      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| SRFC 2025-3A A 144A                             | SIERRA TIMESHARE 2025-3 RECEIVABLES FUNDING LLC                     | CUSIP: 82650FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5179753 | PA      | $5213483.27    | 0.03%             | 2044-08-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SPEAK 2018-5A A1R 144A                          | SIGNAL PEAK CLO 5 LTD                                               | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29505000 | PA      | $29522083.40   | 0.17%             | 2037-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC 144A                        | SIRIUS XM RADIO LLC                                                 | CUSIP: 82966BAA3<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    1730000 | PA      | $1724944.91    | 0.01%             | 2032-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                          | SKANDINAVISKA ENSKILDA BANKEN AB                                    | CUSIP: ZH8095577<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |    2905000 | PA      | $3590264.83    | 0.02%             | 2028-11-06      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                          | SKANDINAVISKA ENSKILDA BANKEN AB                                    | CUSIP: ZI3103200<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |    3005000 | PA      | $3722238.96    | 0.02%             | 2033-08-17      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC 144A                      | SM ENERGY CO                                                        | CUSIP: 17888HAD5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    4515000 | PA      | $4991330.12    | 0.03%             | 2033-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| SMB 2018-C A2A 144A                             | SMB PRIVATE EDUCATION LOAN TRUST 2018-C                             | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    1570708 | PA      | $1565660.35    | 0.01%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SMB 2021-A APT1 144A                            | SMB PRIVATE EDUCATION LOAN TRUST 2021-A                             | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9271753 | PA      | $8611214.56    | 0.05%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SNAM SPA 144A                                   | SNAM SPA                                                            | CUSIP: 83304JAC1<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    4425000 | PA      | $4786401.61    | 0.03%             | 2055-05-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                           | SOCIETE GENERALE SA                                                 | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   13351000 | PA      | $14659529.11   | 0.09%             | 2034-01-10      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                           | SOCIETE GENERALE SA                                                 | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   24245000 | PA      | $23979976.16   | 0.14%             | 2028-01-19      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                           | SOCIETE GENERALE SA                                                 | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   17160000 | PA      | $17599153.24   | 0.10%             | 2029-04-13      | Variable      | 5.50%                 | No            |                  2 | On Loan: —       |
| SOLVENTUM CORP                                  | SOLVENTUM CORP                                                      | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   31477000 | PA      | $31470234.91   | 0.18%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SNDPT 2019-1A BRR 144A                          | SOUND POINT CLO XXII LTD                                            | CUSIP: 83611KAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5045000 | PA      | $5049974.37    | 0.03%             | 2032-01-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                             | SOUTHERN CALIFORNIA EDISON CO                                       | CUSIP: 842400JL8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    7705000 | PA      | $7737494.81    | 0.05%             | 2033-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                           | SOUTHERN CALIFORNIA GAS CO                                          | CUSIP: 842434DC3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    7780000 | PA      | $8183401.87    | 0.05%             | 2035-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                         | SOUTHERN CO GAS CAPITAL CORP                                        | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    5660000 | PA      | $5762650.08    | 0.03%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                               | SOUTHERN POWER CO                                                   | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $5092311.13    | 0.03%             | 2035-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SPRINT CAP CORP                                 | SPRINT CAPITAL CORP                                                 | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |   24540000 | PA      | $26354701.82   | 0.15%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                             | SPRINT CAPITAL CORP                                                 | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |   15530000 | PA      | $18962759.98   | 0.11%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC 144A                     | STANDARD CHARTERED PLC                                              | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    6880000 | PA      | $7142522.14    | 0.04%             | 2029-01-09      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC 144A                     | STANDARD CHARTERED PLC                                              | CUSIP: 85325C2N1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   42700000 | PA      | $42773170.45   | 0.25%             | 2032-06-05      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| IL ST BABS                                      | STATE OF ILLINOIS                                                   | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    3042857 | PA      | $3327540.46    | 0.02%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                               | STATE STREET CORP                                                   | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    4245000 | PA      | $4237902.64    | 0.02%             | 2036-10-23      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| STC SUKUK CO II LTD 144A                        | STC SUKUK CO II LTD                                                 | CUSIP: 784772AA3<br>LEI: 254900OIKUHJZUXKMR88 | Long             | DBT              | NUSS              | KY        |   11030000 | PA      | $11080290.16   | 0.06%             | 2031-01-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| STC SUKUK CO II LTD 144A                        | STC SUKUK CO II LTD                                                 | CUSIP: 784772AB1<br>LEI: 254900OIKUHJZUXKMR88 | Long             | DBT              | NUSS              | KY        |    6260000 | PA      | $6355119.64    | 0.04%             | 2036-01-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: —       |
| SFUEL 2025-BA C 144A                            | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B       | CUSIP: 858933AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     997637 | PA      | $1008347.83    | 0.01%             | 2030-01-22      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-BA A4 144A                           | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B       | CUSIP: 858933AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3375000 | PA      | $3403437.41    | 0.02%             | 2029-06-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-BA B 144A                            | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B       | CUSIP: 858933AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1930000 | PA      | $1947860.61    | 0.01%             | 2029-07-20      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-CA A4 144A                           | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C       | CUSIP: 85855EAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18235000 | PA      | $18379262.56   | 0.11%             | 2029-12-20      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-CA B 144A                            | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C       | CUSIP: 85855EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14550000 | PA      | $14669353.65   | 0.09%             | 2029-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| STRIPE INC SERIES A 5.04 2030 PP                | STRIPE INC SERIES A 5.04 2030 PP                                    | CUSIP: 000000000<br>LEI: 549300CLHGIPTCYHQ143 | Long             | DBT              | CORP              | US        |   17200000 | PA      | $17200000.00   | 0.10%             | 2030-09-26      | Fixed         | 5.04%                 | Yes           |                  3 | On Loan: No      |
| SUNOCO LP 144A                                  | SUNOCO LP                                                           | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   11410000 | PA      | $11827434.18   | 0.07%             | N/A             | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                   | SUTTER HEALTH                                                       | CUSIP: 86944BAK9<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    5265000 | PA      | $5479980.88    | 0.03%             | 2033-08-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                   | SUTTER HEALTH                                                       | CUSIP: 86944BAQ6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |   11135000 | PA      | $11831747.04   | 0.07%             | 2035-08-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                   | SUTTER HEALTH                                                       | CUSIP: 86944BAP8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3567222.39    | 0.02%             | 2032-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-37A AR2 144A                          | SYMPHONY CLO 37 LTD                                                 | CUSIP: 87169VBG9<br>LEI: 54930094HTRXFLXUBV36 | Long             | ABS-CBDO         | CORP              | JE        |   14120000 | PA      | $14104764.52   | 0.08%             | 2037-01-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SYMP 2023-40A BR 144A                           | SYMPHONY CLO 40 LTD                                                 | CUSIP: 871989AR0<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |    8515000 | PA      | $8530488.79    | 0.05%             | 2038-01-05      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SYMP 2015-16A ARR 144A                          | SYMPHONY CLO XVI LTD                                                | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |    6934733 | PA      | $6934386.37    | 0.04%             | 2031-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-31A BR 144A                           | SYMPHONY CLO XXXI LTD                                               | CUSIP: 87168YAQ3<br>LEI: 549300OJB1EXT6QKOX87 | Long             | ABS-CBDO         | CORP              | BM        |   13970000 | PA      | $14054644.23   | 0.08%             | 2038-01-22      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SYNIT 2025-A1 A                                 | SYNCHRONY CARD ISSUANCE TRUST                                       | CUSIP: 87166PAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16765000 | PA      | $17085662.48   | 0.10%             | 2031-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                    | SYNOPSYS INC                                                        | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   11925000 | PA      | $12213206.27   | 0.07%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                    | SYNOPSYS INC                                                        | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   12155000 | PA      | $12146769.76   | 0.07%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                    | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   25155000 | PA      | $25938578.80   | 0.15%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                    | CUSIP: 87264ADY8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   16700000 | PA      | $16408401.41   | 0.10%             | 2056-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                    | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   14080000 | PA      | $13593650.52   | 0.08%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                    | CUSIP: 87264ADW2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   25215000 | PA      | $25378901.69   | 0.15%             | 2033-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                    | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    7650000 | PA      | $7715085.60    | 0.05%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                    | CUSIP: 87264ADZ5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   19555000 | PA      | $19674937.20   | 0.12%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund           | T. Rowe Price Government Reserve Fund                               | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        | 1154924248 | NS      | $1154924247.52 | 6.77%             |  |  |  | No            |                  1 | On Loan: No      |
| TRP INSTITUTIONAL FLOATING RATE FD-Z            | T. Rowe Price Institutional Floating Rate Fund - Class Z            | CUSIP: 77958B873<br>LEI: 863VOPTBPYYVTH00FU88 | Long             | EC               | RF                | US        |      38965 | NS      | $359261.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TALEN ENERGY SUPPLY TL B 1L BANKDEBT            | TALEN ENERGY SUPPLY LLC                                             | CUSIP: 87422LBA7<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |    2724589 | PA      | $2729357.37    | 0.02%             | 2032-11-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                    | TALEN ENERGY SUPPLY LLC                                             | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    3020000 | PA      | $3072874.78    | 0.02%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC TL B 1L USD BANKDEBT    | TALEN ENERGY SUPPLY LLC                                             | CUSIP: 87422LAV2<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |    3196489 | PA      | $3203329.53    | 0.02%             | 2030-05-17      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                    | TALEN ENERGY SUPPLY LLC                                             | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    4378000 | PA      | $4607700.41    | 0.03%             | 2030-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY TL B 1L BANKDEBT            | TALEN ENERGY SUPPLY LLC                                             | CUSIP: 87422LAY6<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |    5207400 | PA      | $5216512.95    | 0.03%             | 2031-12-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                    | TALEN ENERGY SUPPLY LLC                                             | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    3825000 | PA      | $3932191.66    | 0.02%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                            | TARGA RESOURCES CORP                                                | CUSIP: 87612GAN1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    2705000 | PA      | $2735292.74    | 0.02%             | 2055-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| TARGA RESOURCES CORP                            | TARGA RESOURCES CORP                                                | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   15155000 | PA      | $16026304.45   | 0.09%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                            | TARGA RESOURCES CORP                                                | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    5745000 | PA      | $5975237.51    | 0.04%             | 2036-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                            | TARGA RESOURCES CORP                                                | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    8995000 | PA      | $9322196.11    | 0.05%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                        | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5907000 | PA      | $6009719.00    | 0.04%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TDC NET AS                                      | TDC NET A/S                                                         | CUSIP: ZK3492350<br>LEI: 549300SH2G3R15Y3FX20 | Long             | DBT              | CORP              | DK        |    5340000 | PA      | $7089739.12    | 0.04%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP 144A                      | TENET HEALTHCARE CORP                                               | CUSIP: 88033GDV9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     645000 | PA      | $666872.31     | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA                                 | THB/USD FWD 20260306 BOFAUS6N                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | TH        |          1 | NC      | $960342.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                              | THB/USD FWD 20260306 UBSWGB2L                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | TH        |          1 | NC      | $-165150.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                        | THERMO FISHER SCIENTIFIC INC                                        | CUSIP: 883556DH2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    4115000 | PA      | $4162990.27    | 0.02%             | 2033-06-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                        | THERMO FISHER SCIENTIFIC INC                                        | CUSIP: 883556DF6<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   15170000 | PA      | $15292264.69   | 0.09%             | 2037-10-07      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                        | THERMO FISHER SCIENTIFIC INC                                        | CUSIP: 883556DK5<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    6570000 | PA      | $6697425.65    | 0.04%             | 2046-02-12      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                           | TIME WARNER CABLE LLC                                               | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7092000 | PA      | $7271991.91    | 0.04%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                           | TIME WARNER CABLE LLC                                               | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2193000 | PA      | $2374889.88    | 0.01%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR TL B 1L BANKDEBT                    | TK ELEVATOR US NEWCO INC                                            | CUSIP: 8869969C3<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |    8252396 | PA      | $8248682.69    | 0.05%             | 2030-04-30      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| TKO GROUP TL B5 1L BANKDEBT                     | TKO WORLDWIDE HOLDINGS                                              | CUSIP: 90266UAL7<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    9115616 | PA      | $9117530.52    | 0.05%             | 2031-11-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                           | TORONTO-DOMINION BANK/THE                                           | CUSIP: 89115KAJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    9815000 | PA      | $9899745.88    | 0.06%             | 2035-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                           | TOTALENERGIES CAPITAL INTERNATIONAL SA                              | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    7904000 | PA      | $5421803.27    | 0.03%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: —       |
| TOTALENERGIES CAP INTL                          | TOTALENERGIES CAPITAL INTERNATIONAL SA                              | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    7180000 | PA      | $5286640.43    | 0.03%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TPMT 2026-1 A1A 144A                            | TOWD POINT MORTGAGE TRUST                                           | CUSIP: 891959AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15826239 | PA      | $15977627.74   | 0.09%             | 2066-01-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-HY3 A1A 144A                          | TOWD POINT MORTGAGE TRUST 2019-HY3                                  | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1597722 | PA      | $1600196.55    | 0.01%             | 2059-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-2 A1B 144A                            | TOWD POINT MORTGAGE TRUST 2024-2                                    | CUSIP: 89183AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7657467 | PA      | $7816725.73    | 0.05%             | 2064-12-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-5 A1B 144A                            | TOWD POINT MORTGAGE TRUST 2024-5                                    | CUSIP: 891944AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6569812 | PA      | $6661502.22    | 0.04%             | 2064-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-1 A1A 144A                            | TOWD POINT MORTGAGE TRUST 2025-1                                    | CUSIP: 89190KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13454061 | PA      | $13722782.14   | 0.08%             | 2065-06-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-1 A1B 144A                            | TOWD POINT MORTGAGE TRUST 2025-1                                    | CUSIP: 89190KAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6786915 | PA      | $6880575.40    | 0.04%             | 2065-06-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-CES4 A1A 144A                         | TOWD POINT MORTGAGE TRUST 2025-CES4                                 | CUSIP: 89170UAA8<br>LEI: 254900V1XGR6BSB30T32 | Long             | ABS-MBS          | CORP              | US        |   13114182 | PA      | $13234725.25   | 0.08%             | 2065-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| TPIC CLASS A SR TERM NOTES PP                   | TPIC Rollup Sr Term Notes PP                                        | CUSIP: 000000000<br>LEI: 98450079E44D2D1B6432 | Long             | DBT              | CORP              | US        |    1637167 | PA      | $1637166.97    | 0.01%             | 2026-12-10      | Fixed         | 45.69%                | Yes           |                  3 | On Loan: No      |
| TPIC SPV I LLC 2024-1 A1 PP                     | TPIC SPV I LLC                                                      | CUSIP: 872660AA3<br>LEI: 98450079E44D2D1B6432 | Long             | ABS-O            | CORP              | US        |   20047107 | PA      | $17848590.78   | 0.10%             | 2044-11-30      | Fixed         | 7.13%                 | Yes           |                  3 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA 144A                   | TRANS-ALLEGHENY INTERSTATE LINE CO                                  | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2080000 | PA      | $2150339.94    | 0.01%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                              | TRANSDIGM INC                                                       | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    1480000 | PA      | $1530426.78    | 0.01%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                              | TRANSDIGM INC                                                       | CUSIP: 893647CB1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    1470000 | PA      | $1493203.34    | 0.01%             | 2034-07-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                              | TRANSDIGM INC                                                       | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    2555000 | PA      | $2658867.30    | 0.02%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                              | TRANSDIGM INC                                                       | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1754562.79    | 0.01%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM TL M 1L BANKDEBT                      | TRANSDIGM INC                                                       | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    2034900 | PA      | $2033719.76    | 0.01%             | 2032-08-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC TL K 1L BANKDEBT                  | TRANSDIGM INC                                                       | CUSIP: 89364MCF9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    7798052 | PA      | $7788928.11    | 0.05%             | 2030-03-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                              | TRANSDIGM INC                                                       | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    3120000 | PA      | $3269840.50    | 0.02%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC TL N 1L BANKDEBT                  | TRANSDIGM INC                                                       | CUSIP: 89364MCG7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    3045000 | PA      | $3047314.20    | 0.02%             | 2033-02-10      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GRS - SECURITY LENDING COLLATERAL               | TREASURY RESERVE FUND - Collateral                                  | CUSIP: 000000000<br>LEI: 549300SIV6FPS9Y7IH33 | Long             | STIV             | RF                | US        |   73358908 | NS      | $73358907.50   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| TCN 2024-SFR2 A 144A                            | TRICON RESIDENTIAL 2024-SFR2 TRUST                                  | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7016782 | PA      | $7048007.69    | 0.04%             | 2040-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TRNTS 2017-7A A1R2 144A                         | TRINITAS CLO VII LTD                                                | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |   14130000 | PA      | $14105993.13   | 0.08%             | 2035-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | TRS LQD 3M 04/15/2026/118708958/CHASGB2LXXX_C                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-76212.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TX 2024-HOU A 144A                              | TX TRUST 2024-HOU                                                   | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12745000 | PA      | $12752964.35   | 0.07%             | 2039-06-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC 144A                      | UBER TECHNOLOGIES INC                                               | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   17774000 | PA      | $17790752.89   | 0.10%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                           | UBER TECHNOLOGIES INC                                               | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2757377.67    | 0.02%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                           | UBER TECHNOLOGIES INC                                               | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   13560000 | PA      | $13468283.96   | 0.08%             | 2035-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UCB SA                                          | UCB SA                                                              | CUSIP: ZD5876747<br>LEI: 2138008J191VLSGY5A09 | Long             | DBT              | CORP              | BE        |    3100000 | PA      | $3800338.32    | 0.02%             | 2030-03-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| UKG INC TL B 1L USD BANKDEBT                    | UKG INC                                                             | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |    7669243 | PA      | $7243600.40    | 0.04%             | 2031-02-10      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  178645000 | PA      | $180543103.13  | 1.06%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20665000 | PA      | $20600421.88   | 0.12%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  389730000 | PA      | $388572989.06  | 2.28%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  115975000 | PA      | $106407062.50  | 0.62%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30180000 | PA      | $30752948.44   | 0.18%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70785000 | PA      | $67035607.03   | 0.39%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  153940000 | PA      | $154902125.00  | 0.91%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63045000 | PA      | $64699931.25   | 0.38%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  107180000 | PA      | $112605987.50  | 0.66%             | 2031-05-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  292825000 | PA      | $274294667.97  | 1.61%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   74730000 | PA      | $73013545.31   | 0.43%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  116375000 | PA      | $119720781.25  | 0.70%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  249550000 | PA      | $233836148.44  | 1.37%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17435000 | PA      | $13245151.56   | 0.08%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  106375000 | PA      | $101180908.20  | 0.59%             | 2027-12-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24515000 | PA      | $24453712.50   | 0.14%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  268140000 | PA      | $274990139.06  | 1.61%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16555000 | PA      | $16887393.36   | 0.10%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  148325000 | PA      | $149808250.00  | 0.88%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  203480000 | PA      | $211046912.50  | 1.24%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   83985000 | PA      | $86740757.81   | 0.51%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54660000 | PA      | $51743376.56   | 0.30%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  114030000 | PA      | $117165825.00  | 0.69%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  300420000 | PA      | $261787865.63  | 1.53%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45030000 | PA      | $44906871.09   | 0.26%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  159815000 | PA      | $148078585.94  | 0.87%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25840000 | PA      | $26138775.00   | 0.15%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51240000 | PA      | $51348084.38   | 0.30%             | 2029-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  287480000 | PA      | $293544031.25  | 1.72%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  212795000 | PA      | $214432524.02  | 1.26%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  320865000 | PA      | $337058655.47  | 1.98%             | 2031-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  172600000 | PA      | $174245093.75  | 1.02%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   87955000 | PA      | $66887028.91   | 0.39%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7870000 | PA      | $7958230.08    | 0.05%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  329355000 | PA      | $332031009.38  | 1.95%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   97625000 | PA      | $99905458.98   | 0.59%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30570000 | PA      | $27470010.94   | 0.16%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  272825000 | PA      | $268391593.75  | 1.57%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   76690000 | PA      | $65929434.38   | 0.39%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                    | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  215455000 | PA      | $203268326.56  | 1.19%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | UNITEDHEALTH GROUP INC                                              | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   24469000 | PA      | $22273849.66   | 0.13%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | UNITEDHEALTH GROUP INC                                              | CUSIP: 91324PEV0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   16060000 | PA      | $16030791.80   | 0.09%             | 2033-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | UNITEDHEALTH GROUP INC                                              | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4270000 | PA      | $4421460.04    | 0.03%             | 2055-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | UNITEDHEALTH GROUP INC                                              | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    7575000 | PA      | $7899809.45    | 0.05%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| UXYM6 US 10YR ULTRA FUT JUN26                   | US 10YR ULTRA FUT JUN26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      -1227 | NC      | $-768617.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TUM6 US 2YR NOTE (CBT) JUN26                    | US 2YR NOTE (CBT) JUN26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       7918 | NC      | $1844541.65    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FVM6 US 5YR NOTE (CBT) JUN26                    | US 5YR NOTE (CBT) JUN26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       2539 | NC      | $1066862.41    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| USCLN 2023-1 B 144A                             | US BANK NA                                                          | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1347330 | PA      | $1360664.62    | 0.01%             | 2032-08-25      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| BARCLAYS                                        | USD IRS OPT 1Y/2Y 2 1/8/27 REC BARC                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-1999795.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                        | USD IRS OPT 1Y/2Y 2 1/8/27 REC BARC                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-1930595.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                        | USD IRS OPT 1Y/2Y 2.5 1/8/27 REC BARC                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |          1 | NC      | $4342955.78    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                        | USD IRS OPT 1Y/2Y 2.5 1/8/27 REC BARC                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |          1 | NC      | $4192674.17    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                    | USD IRS OPT 2M/10Y 4.05 4/6/26 PAY MSLN                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |          1 | NC      | $49248.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                     | USD/CAD FWD 20260424 ROYCGB2L                                       | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-403762.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                    | USD/EUR FWD 20260522 MSLNGB2X                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $505778.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                   | USD/HUF FWD 20260417 DEUTGB2L                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-153536.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                              | USD/HUF FWD 20260417 UBSWGB2L                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2389199.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                   | USD/KZT FWD 20260410 DEUTGB2L                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-177048.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC 144A                     | VENTURE GLOBAL LNG INC                                              | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    6325000 | PA      | $5529592.12    | 0.03%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC 144A                     | VENTURE GLOBAL LNG INC                                              | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    2730000 | PA      | $2928136.20    | 0.02%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                      | VENTURE GLOBAL PLAQUEMINES LNG LLC                                  | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    2470000 | PA      | $2599468.83    | 0.02%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                      | VENTURE GLOBAL PLAQUEMINES LNG LLC                                  | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    2905000 | PA      | $3223708.30    | 0.02%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                      | VENTURE GLOBAL PLAQUEMINES LNG LLC                                  | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    5780000 | PA      | $6559229.36    | 0.04%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VERD 2024-1A A2 144A                            | VERDANT RECEIVABLES 2024-1 LLC                                      | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3508497 | PA      | $3574989.32    | 0.02%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                          | VERIZON COMMUNICATIONS INC                                          | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   18955000 | PA      | $19044512.34   | 0.11%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERTIV HOLDINGS CO                              | VERTIV HOLDINGS CO                                                  | CUSIP: 92537NAC2<br>LEI: 549300KTTIRAOGXCRV69 | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1781992.00    | 0.01%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-8 A1F 144A                           | VERUS SECURITIZATION TRUST 2025-8                                   | CUSIP: 924930AD2<br>LEI: 213800K8E68XJS6Z1D09 | Long             | ABS-MBS          | CORP              | US        |    4985491 | PA      | $4990386.44    | 0.03%             | 2070-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| VSTA 2020-2 A1 144A                             | VISTA POINT SECURITIZATION TRUST 2020-2                             | CUSIP: 92838TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     779197 | PA      | $759692.51     | 0.00%             | 2065-04-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP 144A                                | VISTRA CORP                                                         | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |   17455000 | PA      | $19240098.86   | 0.11%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: —       |
| VISTRA OPERATIONS CO LLC 144A                   | VISTRA OPERATIONS CO LLC                                            | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   20930000 | PA      | $23472492.81   | 0.14%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC 144A                   | VISTRA OPERATIONS CO LLC                                            | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    5820000 | PA      | $6164141.78    | 0.04%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC 144A                   | VISTRA OPERATIONS CO LLC                                            | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     443000 | PA      | $459240.66     | 0.00%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I 144A                     | VMED O2 UK FINANCING I PLC                                          | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    3509000 | PA      | $3508982.19    | 0.02%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VNDO 2016-350P D 144A                           | VNDO TRUST 2016-350P                                                | CUSIP: 91831UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8849000 | PA      | $8754712.14    | 0.05%             | 2035-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| VOYA 2021-2A A1R 144A                           | VOYA CLO 2021-2 LTD                                                 | CUSIP: 92919AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   35005000 | PA      | $35029538.51   | 0.21%             | 2038-04-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| WB 2024-HQ A 144A                               | WB COMMERCIAL MORTGAGE TRUST 2024-HQ                                | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13100000 | PA      | $13096356.89   | 0.08%             | 2040-03-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY PP                                   | WEC ENERGY PP                                                       | CUSIP: 000000000<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    5060000 | PA      | $5150321.00    | 0.03%             | 2055-06-15      | Variable      | 6.69%                 | Yes           |                  3 | On Loan: No      |
| WELLS FARGO & COMPANY                           | WELLS FARGO & CO                                                    | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   49550000 | PA      | $46632526.82   | 0.27%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | WELLS FARGO & CO                                                    | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   39452000 | PA      | $40834526.13   | 0.24%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| WFCM 2025-5C6 A3                                | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C6                      | CUSIP: 95004TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19800000 | PA      | $20549329.02   | 0.12%             | 2058-10-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| WFLF 2025-3A A1 144A                            | WHEELS FLEET LEASE FUNDING 1 LLC                                    | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   18005000 | PA      | $18079315.64   | 0.11%             | 2040-09-18      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| WEF 2025-1A A2 144A                             | WINGSPIRE EQUIPMENT FINANCE 2025-1 LLC                              | CUSIP: 97415CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2520000 | PA      | $2529200.77    | 0.01%             | 2033-09-20      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| WINTERSHALL DEA FINANCE                         | WINTERSHALL DEA FINANCE BV                                          | CUSIP: ZR6354867<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |    1800000 | PA      | $1914584.61    | 0.01%             | 2031-09-25      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| WYNNTON FUNDING TRUST 144A                      | WYNNTON FUNDING TRUST                                               | CUSIP: 983196AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7995000 | PA      | $8098362.26    | 0.05%             | 2035-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING 144A                     | XPLR INFRASTRUCTURE OPERATING PARTNERS LP                           | CUSIP: 98380MAB1<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |    2795000 | PA      | $2958177.77    | 0.02%             | 2033-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                 | YUM! BRANDS INC                                                     | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |    3270000 | PA      | $3323422.23    | 0.02%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-06

**Name of Applicant:** T. ROWE PRICE NEW INCOME FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President