# EDGAR Filing Document

**Accession Number:** 0000277751
**File Stem:** 0001741773-23-000776
**Filing Date:** 2023-3
**Character Count:** 192194
**Document Hash:** ebd70885e18270e263db0702978cce94
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001741773-23-000776.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001741773-23-000776

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JANUS INVESTMENT FUND
- **CENTRAL INDEX KEY:** 0000277751
- **IRS NUMBER:** 840592523
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-01879
- **FILM NUMBER:** 23691526

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JANUS FUND /MD/
- **DATE OF NAME CHANGE:** 19870701

## Series and Classes Contracts Data

### Janus Henderson Flexible Bond Fund (Series ID: S000010492)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000028954 | Class T      | JAFIX           |
| C000077742 | Class A      | JDFAX           |
| C000077743 | Class C      | JFICX           |
| C000077744 | Class I      | JFLEX           |
| C000077745 | Class R      | JDFRX           |
| C000077746 | Class S      | JADFX           |
| C000083536 | Class D      | JANFX           |
| C000114884 | Class N      | JDFNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JANUS INVESTMENT FUND

- **b. Investment Company Act file number:** 811-01879

- **c. CIK number of Registrant:** 0000277751

- **d. LEI of Registrant:** W6UYDZFUOFJ4HQQ32382

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

  - **Street Address 1:** 151 DETROIT STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 3033333863

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

- **a. Name of Series:** Janus Henderson Flexible Bond Fund

- **b. EDGAR series identifier (if any):** S000010492

- **c. LEI of Series:** C8DSHUK27T5OOEDPW945

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

- **a. Date of fiscal year-end:** 2023-06-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3029676155.00

**Total Liabilities:** $210802942.00

**Net Assets:** $2818873213.00

**Cash Not Reported:** $9375917.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2242.66868 | **1-Year:** -110875.10146 | **5-Year:** -702191.9336 | **10-Year:** -560431.61802 | **30-Year:** -195008.74134

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

- **3-Month:** -1673.31908 | **1-Year:** -15210.74146 | **5-Year:** -15823.97218 | **10-Year:** -3096.50986 | **30-Year:** -7.1833

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000077742 | -0.43%               | 3.35%                | -1.49%               |
| Class ID C000077743 | -0.49%               | 3.29%                | -1.55%               |
| Class ID C000083536 | -0.42%               | 3.36%                | -1.48%               |
| Class ID C000077744 | -0.41%               | 3.37%                | -1.47%               |
| Class ID C000114884 | -0.52%               | 3.37%                | -1.47%               |
| Class ID C000077745 | -0.48%               | 3.31%                | -1.53%               |
| Class ID C000077746 | -0.45%               | 3.33%                | -1.51%               |
| Class ID C000028954 | -0.43%               | 3.35%                | -1.48%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-8916373.00             | $-11956630.00                              |
| Month 2  | $-45443749.00            | $126428895.00                              |
| Month 3  | $-36574254.00            | $-11948415.00                              |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. Aggregate Unhedged in USD

- **Index Identifier:** LEHM.MC.LEHM000001UUSD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                  | Royal Bank of Canada                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |  21090218 | PA      | $21090218.00  | 0.75%             | 2023-01-03      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Janus Capital Group Inc              | Janus Henderson Cash Liquidity Fund                                | CUSIP: N/A<br>LEI: 8T2ZO87FU1KVPZIG9I59       | Long             | EC               | PF                | US        | 273652060 | NS      | $273706790.00 | 9.71%             |  |  |  | No            |                  2 | On Loan: No      |
| Janus Henderson Cash Collateral Fund | Janus Henderson Cash Collateral Fund                               | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | PF                | US        |  81879614 | NS      | $81879614.00  | 2.90%             |  |  |  | No            |                  2 | On Loan: No      |
| AGREE LP                             | Agree LP                                                           | CUSIP: 008513AA1<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |   7291000 | PA      | $5918737.00   | 0.21%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                  | American Express Co                                                | CUSIP: 025816CX5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   6137000 | PA      | $5898945.00   | 0.21%             | 2033-05-26      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                    | Ares Capital Corp                                                  | CUSIP: 04010LBC6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $5136950.00   | 0.18%             | 2031-11-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                    | Ares Capital Corp                                                  | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   6128000 | PA      | $5193617.00   | 0.18%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                | Athene Global Funding                                              | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |  12791000 | PA      | $9771742.00   | 0.35%             | 2031-10-04      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                | Athene Global Funding                                              | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   7222000 | PA      | $5963575.00   | 0.21%             | 2029-01-07      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                               | CUSIP: 060505ED2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3295000 | PA      | $3192860.00   | 0.11%             | 2099-12-31      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | BANK OF AMERICA CORP                                               | CUSIP: 060505EH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8517000 | PA      | $8179394.00   | 0.29%             | 2099-12-31      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                               | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6770000 | PA      | $6264914.00   | 0.22%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                               | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9773000 | PA      | $9346144.00   | 0.33%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                               | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2498000 | PA      | $2579114.00   | 0.09%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                    | Brown & Brown Inc                                                  | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   2203000 | PA      | $1909917.00   | 0.07%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                      | CMS Energy Corp                                                    | CUSIP: 125896BU3<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   8111000 | PA      | $7015685.00   | 0.25%             | 2050-06-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC               | Cadence Design Systems Inc                                         | CUSIP: 127387AL2<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |  18064000 | PA      | $17916963.00  | 0.64%             | 2024-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                         | Centene Corp                                                       | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |  16614000 | PA      | $15581659.00  | 0.55%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                         | Centene Corp                                                       | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   5571000 | PA      | $4566823.00   | 0.16%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                         | Centene Corp                                                       | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   7054000 | PA      | $5953929.00   | 0.21%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                        | Citigroup Inc                                                      | CUSIP: 172967GR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4013000 | PA      | $3910284.00   | 0.14%             | 2099-12-31      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                        | Citigroup Inc                                                      | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    916000 | PA      | $864017.00    | 0.03%             | 2099-12-31      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                        | Citigroup Inc                                                      | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4099000 | PA      | $3691969.00   | 0.13%             | 2099-12-31      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                     | CoStar Group Inc                                                   | CUSIP: 22160NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5441000 | PA      | $4443609.00   | 0.16%             | 2030-07-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY CORP                     | Duke Energy Corp                                                   | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   4804000 | PA      | $4622523.00   | 0.16%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| EQT CORP                             | EQT Corp                                                           | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |  13469000 | PA      | $12378484.00  | 0.44%             | 2026-05-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| EQT CORP                             | EQT CORP                                                           | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   2135000 | PA      | $2123528.00   | 0.07%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                   | Energy Transfer LP                                                 | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3965000 | PA      | $3933002.00   | 0.14%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                   | Energy Transfer LP                                                 | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3966000 | PA      | $3880176.00   | 0.14%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II              | GLP Capital LP / GLP Financing II Inc                              | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    603000 | PA      | $570643.00    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                    | GXO Logistics Inc                                                  | CUSIP: 36262GAB7<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   6199000 | PA      | $5307442.00   | 0.19%             | 2026-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC               | GEHC 5.65 11/15/27 144A                                            | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   5628000 | PA      | $5693850.00   | 0.20%             | 2027-11-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC               | GEHC 5.857 03/15/30 144A                                           | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   6721000 | PA      | $6878014.00   | 0.24%             | 2030-03-15      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC               | GEHC 5.905 11/22/32 144A                                           | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   9575000 | PA      | $9921598.00   | 0.35%             | 2032-11-22      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| HASBRO INC                           | Hasbro Inc                                                         | CUSIP: 418056AS6<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   1354000 | PA      | $1310855.00   | 0.05%             | 2040-03-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                           | Hasbro Inc                                                         | CUSIP: 418056AU1<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   2787000 | PA      | $2372567.00   | 0.08%             | 2044-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                           | Hasbro Inc                                                         | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |  15619000 | PA      | $13880360.00  | 0.49%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION             | Hess Midstream Operations LP                                       | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3041000 | PA      | $2812002.00   | 0.10%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| ILLUMINA INC                         | Illumina Inc                                                       | CUSIP: 452327AP4<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   8548000 | PA      | $8654469.00   | 0.31%             | 2027-12-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9112000 | PA      | $7507885.00   | 0.27%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5362000 | PA      | $5044914.00   | 0.18%             | 2030-06-14      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3406000 | PA      | $3324438.00   | 0.12%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3293000 | PA      | $3012867.00   | 0.11%             | 2099-12-31      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3476000 | PA      | $3063225.00   | 0.11%             | 2099-12-31      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC               | Marvell Technology Inc                                             | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5742000 | PA      | $5071405.00   | 0.18%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC               | Marvell Technology Inc                                             | CUSIP: 573874AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6709000 | PA      | $6394461.00   | 0.23%             | 2028-06-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC             | Microchip Technology Inc                                           | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   9518000 | PA      | $9340539.00   | 0.33%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                     | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  11145000 | PA      | $10356662.00  | 0.37%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                     | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  13235000 | PA      | $9597112.00   | 0.34%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                     | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  14116000 | PA      | $11419538.00  | 0.41%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                     | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4849000 | PA      | $4253710.00   | 0.15%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR             | ORCINC 4.7 02/08/27 *                                              | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    743000 | PA      | $669969.00    | 0.02%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR             | ORCINC 7.75 09/16/27                                               | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   4462000 | PA      | $4447563.00   | 0.16%             | 2027-09-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                 | PPC 3.5 03/01/32 144A                                              | CUSIP: 72147KAG3<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   8144000 | PA      | $6372680.00   | 0.23%             | 2032-03-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC             | Quicken Loans LLC                                                  | CUSIP: 74841CAA9<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   5122000 | PA      | $4058868.00   | 0.14%             | 2029-03-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC             | Quicken Loans LLC                                                  | CUSIP: 74841CAB7<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   4262000 | PA      | $3253080.00   | 0.12%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC             | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                | CUSIP: 77313LAB9<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   4295000 | PA      | $3207764.00   | 0.11%             | 2033-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |  10526000 | PA      | $6024254.00   | 0.21%             | 2099-12-31      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   1793000 | PA      | $1183416.00   | 0.04%             | 2099-12-31      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                | CUSIP: 78486QAP6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |  13894000 | PA      | $9115141.00   | 0.32%             | 2099-12-31      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                  | Southern California Edison Co                                      | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   6094000 | PA      | $6272475.00   | 0.22%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP              | Sun Communities Operating LP                                       | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   8985000 | PA      | $7092042.00   | 0.25%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                    | TSMC Arizona Corp                                                  | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   4730000 | PA      | $4547017.00   | 0.16%             | 2027-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                  | Total System Services Inc                                          | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  15432000 | PA      | $15015103.00  | 0.53%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TRIMBLE INC                          | Trimble Inc                                                        | CUSIP: 896239AA8<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |  10216000 | PA      | $10098765.00  | 0.36%             | 2024-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TRIMBLE INC                          | Trimble Inc                                                        | CUSIP: 896239AC4<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |   5033000 | PA      | $4825748.00   | 0.17%             | 2028-06-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| US BANCORP                           | US Bancorp                                                         | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   8250000 | PA      | $7827424.00   | 0.28%             | 2033-07-22      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56867000 | PA      | $38916132.00  | 1.38%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57881000 | PA      | $41328391.00  | 1.47%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36070000 | PA      | $27540008.00  | 0.98%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 129757000 | PA      | $106907603.00 | 3.79%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100543000 | PA      | $98437881.00  | 3.49%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65528600 | PA      | $55950161.00  | 1.99%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55600400 | PA      | $55808902.00  | 1.98%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56814000 | PA      | $56651991.00  | 2.01%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58011900 | PA      | $58224913.00  | 2.07%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 160555200 | PA      | $164026627.00 | 5.82%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10787000 | PA      | $10851891.00  | 0.39%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65188000 | PA      | $64750018.00  | 2.30%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  92111000 | PA      | $91607268.00  | 3.25%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC               | UnitedHealth Group Inc                                             | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   2771000 | PA      | $2832602.00   | 0.10%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust          | CUSIP: 00774MAR6<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   7710000 | PA      | $7160763.00   | 0.25%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                     | BMO V3.088 01/10/37                                                | CUSIP: 06368DH72<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  18727000 | PA      | $14159555.00  | 0.50%             | 2037-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                          | BNP Paribas SA                                                     | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4430000 | PA      | $3896196.00   | 0.14%             | 2028-01-20      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                          | BNP Paribas SA                                                     | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3723000 | PA      | $2939547.00   | 0.10%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: —       |
| CSL FINANCE PLC                      | CSLAU 3.85 04/27/27 144A                                           | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   1839000 | PA      | $1759239.00   | 0.06%             | 2027-04-27      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST               | Commonwealth Bank of Australia                                     | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   7942000 | PA      | $6546458.00   | 0.23%             | 2032-03-14      | Fixed         | 3.78%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG               | Credit Suisse Group AG                                             | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   7993000 | PA      | $8183770.00   | 0.29%             | 2033-11-15      | Variable      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                 | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc             | CUSIP: 46590XAB2<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |   9007000 | PA      | $8570341.00   | 0.30%             | 2030-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                 | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc             | CUSIP: 46590XAT3<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |   3897000 | PA      | $3156570.00   | 0.11%             | 2032-01-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP               | MUFG V4.788 07/18/25                                               | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   4681000 | PA      | $4634343.00   | 0.16%             | 2025-07-18      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                 | Westpac Banking Corp                                               | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   9029000 | PA      | $6710862.00   | 0.24%             | 2035-11-15      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| PERSHING SQUARE HOLDINGS             | Pershing Square Holdings Ltd                                       | CUSIP: BR6668783<br>LEI: U7LC4KOKCTZ0YWGI2G56 | Long             | DBT              | CORP              | GG        |   9400000 | PA      | $7071056.00   | 0.25%             | 2031-10-01      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17396694 | PA      | $15477195.00  | 0.55%             | 2037-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2932700 | PA      | $2684872.00   | 0.10%             | 2037-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2801801 | PA      | $2369775.00   | 0.08%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2307597 | PA      | $2161166.00   | 0.08%             | 2037-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88695 | PA      | $77772.00     | 0.00%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26901204 | PA      | $24419595.00  | 0.87%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11872732 | PA      | $11428146.00  | 0.41%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30523805 | PA      | $30068481.00  | 1.07%             | 2052-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19660868 | PA      | $19713363.00  | 0.70%             | 2052-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S       | Barclays Commercial Mortgage Securities LLC 2015-SRCH              | CUSIP: 05547HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9721000 | PA      | $9048140.00   | 0.32%             | 2035-08-10      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2       | BX Commercial Mortgage Trust 2019-XL                               | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9471465 | PA      | $9354554.00   | 0.33%             | 2036-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2       | BX Commercial Mortgage Trust 2019-XL                               | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2552550 | PA      | $2505596.00   | 0.09%             | 2036-10-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2019-OC11                   | BX Commercial Mortgage Trust 2019-OC11                             | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2160000 | PA      | $1775979.00   | 0.06%             | 2041-12-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2019-OC11                   | BX Commercial Mortgage Trust 2019-OC11                             | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4295000 | PA      | $3548560.00   | 0.13%             | 2041-12-09      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R03                       | CUSIP: 20753MAF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452490 | PA      | $451214.00    | 0.02%             | 2031-09-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R07                       | CUSIP: 20753WAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164476 | PA      | $164031.00    | 0.01%             | 2039-10-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                         | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30286459 | PA      | $26159868.00  | 0.93%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                         | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21691648 | PA      | $19891697.00  | 0.71%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                         | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23340360 | PA      | $22062522.00  | 0.78%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                         | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20017687 | PA      | $19397959.00  | 0.69%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2015-C02 1M2                   | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660527 | PA      | $662427.00    | 0.02%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262518 | PA      | $248580.00    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332327 | PA      | $314683.00    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193646 | PA      | $183365.00    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131XXYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13616 | PA      | $12590.00     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y16T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    686689 | PA      | $672324.00    | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119468 | PA      | $119372.00    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y4LZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58185 | PA      | $51992.00     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y6P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53470 | PA      | $50027.00     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y6V71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2100174 | PA      | $1963922.00   | 0.07%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31329L6U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47919 | PA      | $44833.00     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31329L6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49019 | PA      | $45862.00     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115577 | PA      | $113049.00    | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1241558 | PA      | $1301330.00   | 0.05%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132A5AL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    716615 | PA      | $648959.00    | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8532441 | PA      | $8083732.00   | 0.29%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ACLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42022 | PA      | $39296.00     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ACSU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41195 | PA      | $38529.00     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122852 | PA      | $1110579.00   | 0.04%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3565274 | PA      | $3333971.00   | 0.12%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADJS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2949648 | PA      | $2843361.00   | 0.10%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98448 | PA      | $89911.00     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160452 | PA      | $152948.00    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7421 | PA      | $7154.00      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6990773 | PA      | $6513268.00   | 0.23%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac                                                        | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    848520 | PA      | $780987.00    | 0.03%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DN2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2597061 | PA      | $2538644.00   | 0.09%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5234027 | PA      | $4811617.00   | 0.17%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3083029 | PA      | $2963358.00   | 0.10%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5708743 | PA      | $5589320.00   | 0.20%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1917340 | PA      | $1799655.00   | 0.06%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17931681 | PA      | $16473371.00  | 0.58%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    557602 | PA      | $530382.00    | 0.02%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1880110 | PA      | $1792184.00   | 0.06%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DPCD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11875269 | PA      | $12091918.00  | 0.43%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172903 | PA      | $169120.00    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6705296 | PA      | $5755488.00   | 0.20%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Gold Pool                                              | CUSIP: 3132H7F41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    595255 | PA      | $557461.00    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31334WZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    867691 | PA      | $778769.00    | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    548286 | PA      | $486825.00    | 0.02%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382422 | PA      | $339554.00    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133A73R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430629 | PA      | $371484.00    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133A9JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153426 | PA      | $132306.00    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133A9WN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    811570 | PA      | $699601.00    | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B2LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1012838 | PA      | $867182.00    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B3XQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1647192 | PA      | $1412004.00   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B42A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2361210 | PA      | $2018405.00   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1135149 | PA      | $1005161.00   | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    857631 | PA      | $761901.00    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B6F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369761 | PA      | $315802.00    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415529 | PA      | $379753.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1456394 | PA      | $1293321.00   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83199 | PA      | $80155.00     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1226439 | PA      | $1121552.00   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1178012 | PA      | $1077266.00   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364038 | PA      | $332650.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1682416 | PA      | $1578441.00   | 0.06%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4127288 | PA      | $3978640.00   | 0.14%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2764002 | PA      | $2802415.00   | 0.10%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    101897 | PA      | $101693.00    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3366363 | PA      | $3359608.00   | 0.12%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BPV54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5187694 | PA      | $5177284.00   | 0.18%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26981 | PA      | $25433.00     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58402 | PA      | $55051.00     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2231441 | PA      | $2053841.00   | 0.07%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1024829 | PA      | $1002407.00   | 0.04%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    175904 | PA      | $172055.00    | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    898024 | PA      | $878377.00    | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    610591 | PA      | $597232.00    | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18992378 | PA      | $18308350.00  | 0.65%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KPUD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8081234 | PA      | $7804758.00   | 0.28%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1952298 | PA      | $1860995.00   | 0.07%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    825856 | PA      | $733280.00    | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae REMICS                                                  | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5056578 | PA      | $4561913.00   | 0.16%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae REMICS                                                  | CUSIP: 3136B6B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6275796 | PA      | $5571444.00   | 0.20%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1638663 | PA      | $1634785.00   | 0.06%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3682247 | PA      | $3725581.00   | 0.13%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2508471 | PA      | $2502536.00   | 0.09%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717514 | PA      | $710197.00    | 0.03%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138EQFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1268782 | PA      | $1254925.00   | 0.04%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138WHND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6221877 | PA      | $5818974.00   | 0.21%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17847332 | PA      | $16608522.00  | 0.59%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38348 | PA      | $34155.00     | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10381933 | PA      | $9247327.00   | 0.33%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140GSKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1728172 | PA      | $1597915.00   | 0.06%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1614710 | PA      | $1433717.00   | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600155 | PA      | $599677.00    | 0.02%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140HGGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    879810 | PA      | $758698.00    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585815 | PA      | $562156.00    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140J73V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2477673 | PA      | $2452407.00   | 0.09%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32892072 | PA      | $29786903.00  | 1.06%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283678 | PA      | $270411.00    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070983 | PA      | $1020893.00   | 0.04%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230411 | PA      | $208022.00    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24576 | PA      | $23167.00     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140JYSB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444016 | PA      | $394246.00    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2198334 | PA      | $2023401.00   | 0.07%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137540 | PA      | $129653.00    | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131096 | PA      | $123579.00    | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140LQQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    895655 | PA      | $764504.00    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MAYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2474697 | PA      | $2274198.00   | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MGJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303696 | PA      | $259920.00    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MGJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    879663 | PA      | $751332.00    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4262795 | PA      | $3773333.00   | 0.13%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    630912 | PA      | $576588.00    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2569585 | PA      | $2280961.00   | 0.08%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2256958 | PA      | $1997119.00   | 0.07%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1737190 | PA      | $1587398.00   | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3079918 | PA      | $2816503.00   | 0.10%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758118 | PA      | $648052.00    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98875 | PA      | $95172.00     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193443 | PA      | $186364.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337277 | PA      | $324933.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438240 | PA      | $422201.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505025 | PA      | $461478.00    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1053571 | PA      | $963463.00    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1686842 | PA      | $1542311.00   | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153558 | PA      | $147938.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175556 | PA      | $169131.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535063 | PA      | $515481.00    | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MRZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1751156 | PA      | $1642902.00   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2243298 | PA      | $2162470.00   | 0.08%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MSF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469182 | PA      | $440178.00    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754652 | PA      | $753137.00    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    748522 | PA      | $702249.00    | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1688180 | PA      | $1684792.00   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140N7ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4143016 | PA      | $4134703.00   | 0.15%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1229181 | PA      | $1203469.00   | 0.04%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115720 | PA      | $113186.00    | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158659 | PA      | $155185.00    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QCEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334048 | PA      | $303736.00    | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3891806 | PA      | $3327989.00   | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10558244 | PA      | $9025363.00   | 0.32%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QNPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5444541 | PA      | $5006810.00   | 0.18%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9044194 | PA      | $8329107.00   | 0.29%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309392 | PA      | $1205864.00   | 0.04%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8596656 | PA      | $8286914.00   | 0.29%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452768 | PA      | $417608.00    | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    818139 | PA      | $753198.00    | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2209417 | PA      | $2029038.00   | 0.07%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10937040 | PA      | $11010369.00  | 0.39%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17333650 | PA      | $17649802.00  | 0.63%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2554308 | PA      | $2471166.00   | 0.09%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X3A73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2515781 | PA      | $2278279.00   | 0.08%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X45D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8718358 | PA      | $7895303.00   | 0.28%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X6FJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    755389 | PA      | $699607.00    | 0.03%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X6NZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852282 | PA      | $789345.00    | 0.03%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336899 | PA      | $322747.00    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X7JB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19259098 | PA      | $17810145.00  | 0.63%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6318143 | PA      | $6009693.00   | 0.21%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2991706 | PA      | $2851785.00   | 0.10%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15506190 | PA      | $14749183.00  | 0.52%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3043343 | PA      | $2979681.00   | 0.11%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141598 | PA      | $1088206.00   | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5514866 | PA      | $5292134.00   | 0.19%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XFMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5267248 | PA      | $4507847.00   | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XFWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25572461 | PA      | $21859768.00  | 0.78%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10914476 | PA      | $9322203.00   | 0.33%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6068935 | PA      | $5814010.00   | 0.21%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2253971 | PA      | $2139407.00   | 0.08%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2132190 | PA      | $1965594.00   | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5155762 | PA      | $4756989.00   | 0.17%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9625153 | PA      | $8899675.00   | 0.32%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3765085 | PA      | $3588994.00   | 0.13%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11299114 | PA      | $10380154.00  | 0.37%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146030 | PA      | $139200.00    | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299623 | PA      | $284996.00    | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3756042 | PA      | $3677471.00   | 0.13%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2176532 | PA      | $2070274.00   | 0.07%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188765 | PA      | $167594.00    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3849026 | PA      | $3919229.00   | 0.14%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735301 | PA      | $769616.00    | 0.03%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138128 | PA      | $125111.00    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230784 | PA      | $209036.00    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971089 | PA      | $899379.00    | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1777930 | PA      | $1694777.00   | 0.06%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1241967 | PA      | $1184910.00   | 0.04%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1529986 | PA      | $1458429.00   | 0.05%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233304 | PA      | $221914.00    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222217 | PA      | $217352.00    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA6 M1A | CUSIP: 35564KH36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1040295 | PA      | $1036660.00   | 0.04%             | 2042-09-25      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2  | CUSIP: 35565AAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114648 | PA      | $114573.00    | 0.00%             | 2049-10-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1795675 | PA      | $1798921.00   | 0.06%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1552508 | PA      | $1523644.00   | 0.05%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6446346 | PA      | $6174780.00   | 0.22%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1810656 | PA      | $1734378.00   | 0.06%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7532281 | PA      | $6728898.00   | 0.24%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21548998 | PA      | $19244609.00  | 0.68%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 3617B13X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166328 | PA      | $159793.00    | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 3617B14U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358746 | PA      | $344650.00    | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                  | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439793 | PA      | $422727.00    | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                  | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    449797 | PA      | $432343.00    | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                  | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1277457 | PA      | $1227888.00   | 0.04%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    568608 | PA      | $558068.00    | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                     | Great Wolf Trust                                                   | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $1989388.00   | 0.07%             | 2036-12-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                     | Great Wolf Trust                                                   | CUSIP: 39152TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2296000 | PA      | $2207199.00   | 0.08%             | 2036-12-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                     | Great Wolf Trust                                                   | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2558000 | PA      | $2454025.00   | 0.09%             | 2036-12-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor       | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE B           | CUSIP: 46591PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4370000 | PA      | $4006731.00   | 0.14%             | 2037-01-10      | Fixed         | 3.64%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan        | New Residential Mortgage Loan Trust 2018-2                         | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |   2234056 | PA      | $2110425.00   | 0.07%             | 2058-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora       | Chase Mortgage Finance Corp 2021-CL1 M1                            | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3198867 | PA      | $2897215.00   | 0.10%             | 2050-02-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2022-2 A1                    | CUSIP: 69377AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7632160 | PA      | $7131743.00   | 0.25%             | 2027-03-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| VMC Finance LLC                      | VMC Finance LLC 2021-HT1 A                                         | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3880788 | PA      | $3745979.00   | 0.13%             | 2037-01-18      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                | Aimco 2020-11A AR                                                  | CUSIP: 00140NAN0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   1763000 | PA      | $1716120.00   | 0.06%             | 2034-10-17      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                         | ARES CLO Ltd 2021-60A A                                            | CUSIP: 04018FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1486000 | PA      | $1445431.00   | 0.05%             | 2034-07-18      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                       | Babson CLO Ltd 2018-3A A1                                          | CUSIP: 06760PAC5<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |   2769810 | PA      | $2747968.00   | 0.10%             | 2029-07-20      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                       | Babson CLO Ltd 2019-3A A1R                                         | CUSIP: 06761KAL5<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |   6351000 | PA      | $6260625.00   | 0.22%             | 2031-04-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management                  | CBAM CLO Management 2019-11RA A1                                   | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7300000 | PA      | $7106842.00   | 0.25%             | 2035-01-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management                  | CBAM CLO Management 2019-11RA B                                    | CUSIP: 12510TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2775193 | PA      | $2638384.00   | 0.09%             | 2035-01-20      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                     | CIFC Funding Ltd 2021-4A A                                         | CUSIP: 12547DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5567595 | PA      | $5480256.00   | 0.19%             | 2033-07-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                     | CIFC Funding Ltd 2021-7A B                                         | CUSIP: 12567HAE2<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |   2232376 | PA      | $2131578.00   | 0.08%             | 2035-01-23      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                    | Cedar Funding Ltd 2019-11A A1R                                     | CUSIP: 15033LAQ5<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |   5305000 | PA      | $5202274.00   | 0.18%             | 2032-05-29      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                  | Elmwood CLO VIII Ltd 2019-2A AR                                    | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2239000 | PA      | $2186034.00   | 0.08%             | 2034-04-20      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd       | Highbridge Loan Management Ltd 2021-16A B                          | CUSIP: 40440XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2113425 | PA      | $2008840.00   | 0.07%             | 2035-01-23      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd             | Madison Park Funding Ltd 2019-35A A1R                              | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7174000 | PA      | $7050579.00   | 0.25%             | 2032-04-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd            | Regatta XXIII Funding Ltd 2021-4A B                                | CUSIP: 75889FAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2192711 | PA      | $2089375.00   | 0.07%             | 2035-01-20      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD                  | Sound Point CLO Ltd 2019-1A AR                                     | CUSIP: 83611KAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6462000 | PA      | $6324269.00   | 0.22%             | 2032-01-20      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                       | ACC Auto Trust 2022-A A                                            | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2268398 | PA      | $2226155.00   | 0.08%             | 2026-07-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                       | ACM Auto Trust 2022-1A A                                           | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    941228 | PA      | $936609.00    | 0.03%             | 2029-04-20      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                       | ACC Auto Trust 2021-A A                                            | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933046 | PA      | $922266.00    | 0.03%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| Affirm Inc                           | Affirm Asset Securitization Trust 2020-Z2 A                        | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    507277 | PA      | $494687.00    | 0.02%             | 2025-01-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Affirm Inc                           | Affirm Asset Securitization Trust 2021-B A                         | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4780000 | PA      | $4531585.00   | 0.16%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2019-5                              | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    595251 | PA      | $570911.00    | 0.02%             | 2049-10-25      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2019-6                              | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514181 | PA      | $487241.00    | 0.02%             | 2059-11-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2020-2                              | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1445484 | PA      | $1303780.00   | 0.05%             | 2065-01-26      | Variable      | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2020-3                              | CUSIP: 03465LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1229504 | PA      | $1111366.00   | 0.04%             | 2065-04-25      | Variable      | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                   | Aqua Finance Trust 2021-A A                                        | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2153758 | PA      | $1934133.00   | 0.07%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec       | Arivo Acceptance Auto Loan Receivables 2022-1A A                   | CUSIP: 04047EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1969822 | PA      | $1911872.00   | 0.07%             | 2028-05-15      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Atalaya Equipment Leasing Fund       | Atalaya Equipment Leasing Fund I LP 2021-1A A2                     | CUSIP: 046497AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2688270 | PA      | $2609444.00   | 0.09%             | 2026-05-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S       | Barclays Commercial Mortgage Securities LLC 2017-DELC              | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3044000 | PA      | $2988618.00   | 0.11%             | 2036-08-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                            | BPR Trust 2022-OANA A                                              | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11487000 | PA      | $11311376.00  | 0.40%             | 2037-04-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VINO A                           | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1473000 | PA      | $1418727.00   | 0.05%             | 2038-05-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-LBA AV                           | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6081000 | PA      | $5792591.00   | 0.20%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-LBA AJV                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5348000 | PA      | $5085178.00   | 0.18%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VOLT B                           | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6188000 | PA      | $5852865.00   | 0.21%             | 2036-09-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VOLT D                           | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6499000 | PA      | $6082184.00   | 0.22%             | 2036-09-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2022-FOX2 A2                          | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6251000 | PA      | $5756136.00   | 0.20%             | 2039-04-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2021-4 A11                                | CUSIP: 07336GAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6106309 | PA      | $5470540.00   | 0.19%             | 2051-10-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2021-5 AF                                 | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5929278 | PA      | $5325133.00   | 0.19%             | 2051-11-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2022-2 A1                                 | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12008775 | PA      | $10022198.00  | 0.36%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2020-VKNG A                           | CUSIP: 12433YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1032857 | PA      | $1008418.00   | 0.04%             | 2037-10-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2021-1A A1                                 | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7175021 | PA      | $6189188.00   | 0.22%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2021-1A B1                                 | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2634362 | PA      | $2162339.00   | 0.08%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2022-1A A1                                 | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6646712 | PA      | $6442790.00   | 0.23%             | 2062-08-15      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2022-1A A2                                 | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16060256 | PA      | $15214511.00  | 0.54%             | 2062-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                            | CIM Trust 2021-NR1 A1                                              | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3898788 | PA      | $3671045.00   | 0.13%             | 2055-07-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC                     | COLT Funding LLC 2020-3                                            | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435082 | PA      | $402907.00    | 0.01%             | 2065-04-27      | Variable      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2019-ICE4                  | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9188000 | PA      | $9082462.00   | 0.32%             | 2036-05-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2019-ICE4 C                | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5168000 | PA      | $5055495.00   | 0.18%             | 2036-05-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2021-WEHO A                | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5107342 | PA      | $4959435.00   | 0.18%             | 2023-04-15      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| CP EF ASSET SECURITIZATION I,        | CP EF Asset Securitization I LLC 2002-1A A                         | CUSIP: 12662AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2917294 | PA      | $2869680.00   | 0.10%             | 2030-04-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust       | Carvana Auto Receivables Trust 2021-P4 A2                          | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1946821 | PA      | $1921796.00   | 0.07%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 A                                     | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10993766 | PA      | $10705986.00  | 0.38%             | 2037-11-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 B                                     | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4888412 | PA      | $4732697.00   | 0.17%             | 2037-11-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 C                                     | CUSIP: 193051AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4906106 | PA      | $4745351.00   | 0.17%             | 2037-11-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC                     | COLT Funding LLC 2020-2                                            | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118292 | PA      | $115074.00    | 0.00%             | 2065-03-25      | Variable      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R02                       | CUSIP: 20753KAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    111843 | PA      | $111628.00    | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2018-R07                       | CUSIP: 20753QAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    242769 | PA      | $242050.00    | 0.01%             | 2031-04-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R03 1M1                   | CUSIP: 20753XAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   7756990 | PA      | $7713508.00   | 0.27%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R04 1M1                   | CUSIP: 20753YCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3411358 | PA      | $3403142.00   | 0.12%             | 2042-03-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2021-R03 1M2                   | CUSIP: 20754AAB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3943000 | PA      | $3661458.00   | 0.13%             | 2041-12-25      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2021-R02 2M2                   | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5654000 | PA      | $5261892.00   | 0.19%             | 2041-11-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R01 1B1                   | CUSIP: 20754LAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6109000 | PA      | $5733915.00   | 0.20%             | 2041-12-25      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R06 1M1                   | CUSIP: 20754NAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2319389 | PA      | $2340554.00   | 0.08%             | 2042-05-25      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R08 1M1                   | CUSIP: 20755DAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1803654 | PA      | $1808792.00   | 0.06%             | 2042-07-25      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding II, L.P                 | Conn Funding II LP 2021-A A                                        | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3894 | PA      | $3887.00      | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond        | Consumer Loan Underlying Bond Credit Trust 2019-P2 C               | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    676772 | PA      | $672624.00    | 0.02%             | 2026-10-15      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond        | Consumer Loan Underlying Bond Credit Trust 2020-P1 C               | CUSIP: 21055JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330729 | PA      | $327536.00    | 0.01%             | 2028-03-15      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Diamond Infrastructure Funding       | Diamond Infrastructure Funding LLC 2021-1A A                       | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7083000 | PA      | $5801592.00   | 0.21%             | 2049-04-15      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL       | Domino's Pizza Master Issuer LLC                                   | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7237440 | PA      | $6826930.00   | 0.24%             | 2048-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables        | Exeter Automobile Receivables Trust 2021-1A D                      | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3626000 | PA      | $3378970.00   | 0.12%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables        | Exeter Automobile Receivables Trust 2019-1                         | CUSIP: 30167DAE7<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |   3260000 | PA      | $3229456.00   | 0.12%             | 2026-01-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust          | Extended Stay America Trust 2021-ESH B                             | CUSIP: 30227FAE0<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |   2391671 | PA      | $2291209.00   | 0.08%             | 2038-07-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                      | FREED ABS Trust 2019-2 C                                           | CUSIP: 30312JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453362 | PA      | $452882.00    | 0.02%             | 2026-11-18      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2014-C04                       | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    260361 | PA      | $267721.00    | 0.01%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Fannie Mae Connecticut Avenue Securities                           | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1351796 | PA      | $1401996.00   | 0.05%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust              | Flagstar Mortgage Trust 2021-13IN A2                               | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14271792 | PA      | $11910839.00  | 0.42%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2  | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3013000 | PA      | $2775478.00   | 0.10%             | 2033-08-25      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2  | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2791000 | PA      | $2760033.00   | 0.10%             | 2033-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA1 M1A | CUSIP: 35564KTA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3668774 | PA      | $3635092.00   | 0.13%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M1A | CUSIP: 35564KYN3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4832696 | PA      | $4876664.00   | 0.17%             | 2042-06-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2  | CUSIP: 35565RAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     26307 | PA      | $26307.00     | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2  | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5574303 | PA      | $5506520.00   | 0.20%             | 2050-11-25      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2  | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4874684 | PA      | $4836164.00   | 0.17%             | 2050-12-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Freedom Financial                    | FREED ABS Trust 2022-3FP A                                         | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2022061 | PA      | $2014374.00   | 0.07%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                 | GCAT 2022-INV1 A1                                                  | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15195542 | PA      | $12515703.00  | 0.44%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz       | NRZ Excess Spread Collateralized Notes 2020-PLS1 A                 | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1307371 | PA      | $1191502.00   | 0.04%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor       | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A           | CUSIP: 46591PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6185000 | PA      | $5686760.00   | 0.20%             | 2037-01-10      | Fixed         | 3.29%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL       | Chase Auto Credit Linked Notes 2021-2 B                            | CUSIP: 48128U2M0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   2824079 | PA      | $2698551.00   | 0.10%             | 2028-12-26      | Fixed         | 0.89%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust           | LAD Auto Receivables Trust 2021-1A A                               | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2206441 | PA      | $2141312.00   | 0.08%             | 2026-08-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust           | LAD Auto Receivables Trust 2022-1A A                               | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5148899 | PA      | $5064159.00   | 0.18%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust        | Lendbuzz Securitization Trust 2021-1A A                            | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5031004 | PA      | $4833065.00   | 0.17%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation                 | Oasis Securitization 2022-1A A                                     | CUSIP: 53161NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1986471 | PA      | $1948747.00   | 0.07%             | 2034-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2021-BMR A                           | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11607894 | PA      | $11239994.00  | 0.40%             | 2038-03-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2021-BMR C                           | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6486620 | PA      | $6165300.00   | 0.22%             | 2038-03-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2022-BMR2 A1                         | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6610000 | PA      | $6446277.00   | 0.23%             | 2039-05-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust        | MHC Commercial Mortgage Trust 2021-MHC A                           | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10483358 | PA      | $10169613.00  | 0.36%             | 2038-04-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust        | MHC Commercial Mortgage Trust 2021-MHC C                           | CUSIP: 55316VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5917835 | PA      | $5640325.00   | 0.20%             | 2038-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN C                                              | CUSIP: 58403YAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1845000 | PA      | $1749614.00   | 0.06%             | 2038-11-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN D                                              | CUSIP: 58403YAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1873000 | PA      | $1773072.00   | 0.06%             | 2038-11-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN E                                              | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8317000 | PA      | $7719914.00   | 0.27%             | 2038-11-15      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN F                                              | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5232000 | PA      | $4818250.00   | 0.17%             | 2038-11-15      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2022-INV1 A2               | CUSIP: 585490AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10426678 | PA      | $8550343.00   | 0.30%             | 2052-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2021-INV3 A11              | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5554699 | PA      | $5015017.00   | 0.18%             | 2051-10-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2021-INV2 A11              | CUSIP: 58549XBC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4378771 | PA      | $3948459.00   | 0.14%             | 2051-08-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2021-INV4 A3               | CUSIP: 58550NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4177371 | PA      | $3336205.00   | 0.12%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card        | Mercury Financial Credit Card Master Trust 2021-1A A               | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6186000 | PA      | $5921930.00   | 0.21%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz       | NRZ Excess Spread Collateralized Notes 2021-FHT1 A                 | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4125683 | PA      | $3581895.00   | 0.13%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2022-INV1 A1                              | CUSIP: 67115NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12097265 | PA      | $10098174.00  | 0.36%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2022-INV1 A18                             | CUSIP: 67115NAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5129641 | PA      | $4059826.00   | 0.14%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2021-INV3 A3                              | CUSIP: 67117JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4743152 | PA      | $3792019.00   | 0.14%             | 2051-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne       | Oak Street Investment Grade Net Lease Fund 2020-1A A1              | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4709449 | PA      | $4186902.00   | 0.15%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2022-1 A1                                 | CUSIP: 67648BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6164422 | PA      | $5144650.00   | 0.18%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-RPL2 A1                 | CUSIP: 69357QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6826090 | PA      | $5979879.00   | 0.21%             | 2051-10-25      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2020-4 A1                    | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3228935 | PA      | $3029398.00   | 0.11%             | 2025-10-25      | Variable      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-10 A1                   | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000890 | PA      | $5395930.00   | 0.19%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-9 A1                    | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11564705 | PA      | $10475131.00  | 0.37%             | 2026-10-25      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust       | Pagaya AI Debt Selection Trust 2022-1 A                            | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2966960 | PA      | $2829180.00   | 0.10%             | 2029-10-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust       | Pagaya AI Debt Selection Trust 2021-1 A                            | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3503188 | PA      | $3450008.00   | 0.12%             | 2027-11-15      | Fixed         | 1.18%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru       | Provident Funding Mortgage Trust 2021-INV1 A1                      | CUSIP: 74387VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4992417 | PA      | $3985420.00   | 0.14%             | 2051-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Woodward Capital Management          | Woodward Capital Management 2021-3 A21                             | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4241086 | PA      | $3800502.00   | 0.14%             | 2051-07-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                 | SMRT 2022-MINI A                                                   | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3548000 | PA      | $3425065.00   | 0.12%             | 2039-01-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                          | SREIT Trust 2021-MFP A                                             | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    816000 | PA      | $784696.00    | 0.03%             | 2038-11-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl       | Santander Drive Auto Receivables Trust 2020-3 D                    | CUSIP: 80285WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8839000 | PA      | $8474898.00   | 0.30%             | 2026-11-16      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl       | Santander Drive Auto Receivables Trust 2021-1 D                    | CUSIP: 80286NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15238000 | PA      | $14391875.00  | 0.51%             | 2026-11-16      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin       | Santander Bank Auto Credit-Linked Notes 2021-1A B                  | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1331315 | PA      | $1285720.00   | 0.05%             | 2031-12-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin       | Santander Bank Auto Credit-Linked Notes 2022-A B                   | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4615403 | PA      | $4468914.00   | 0.16%             | 2032-05-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust               | Sequoia Mortgage Trust 2013-5                                      | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-O            | CORP              | US        |    573868 | PA      | $495311.00    | 0.02%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust               | Sequoia Mortgage Trust 2020-2                                      | CUSIP: 81748KBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458830 | PA      | $400077.00    | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS       | Spruce Hill Mortgage Loan Trust 2020-SH1 A1                        | CUSIP: 85209FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68517 | PA      | $67399.00     | 0.00%             | 2050-01-28      | Variable      | 2.52%                 | Yes           |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS       | Spruce Hill Mortgage Loan Trust 2020-SH1 A2                        | CUSIP: 85209FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284504 | PA      | $279167.00    | 0.01%             | 2050-01-28      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 AK33                                  | CUSIP: 872659AA5<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |   3087000 | PA      | $2967871.00   | 0.10%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 AK34                                  | CUSIP: 872659AC1<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |   2543000 | PA      | $2444864.00   | 0.09%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 AK35                                  | CUSIP: 872659AE7<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |   3447000 | PA      | $3293778.00   | 0.12%             | 2046-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust               | Tesla Auto Lease Trust 2021-B A3                                   | CUSIP: 88161KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3326000 | PA      | $3131944.00   | 0.11%             | 2025-09-22      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust               | Tesla Auto Lease Trust 2021-B B                                    | CUSIP: 88161KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1705000 | PA      | $1575327.00   | 0.06%             | 2025-09-22      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                | Theorem Funding Trust 2021-1A A                                    | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2931987 | PA      | $2877984.00   | 0.10%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization T       | Tricolor Auto Securitization Trust 2022-1A A                       | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663005 | PA      | $657132.00    | 0.02%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust       | 208 Park Avenue Mortgage Trust 2017-280P                           | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4050930 | PA      | $3951888.00   | 0.14%             | 2034-09-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC        | United Wholesale Mortgage LLC 2021-INV1 A9                         | CUSIP: 90354XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5268971 | PA      | $4744393.00   | 0.17%             | 2051-08-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| UNIFY Auto Receivables Trust         | UNIFY Auto Receivables Trust 2021-1A A4                            | CUSIP: 90775QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3808000 | PA      | $3636594.00   | 0.13%             | 2026-07-15      | Fixed         | 0.98%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2021-5 A                              | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1429527 | PA      | $1376119.00   | 0.05%             | 2031-11-20      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2022-2 A                              | CUSIP: 91679TAA3<br>LEI: 549300WNB47JRNENIC75 | Long             | ABS-O            | CORP              | US        |   8155425 | PA      | $7938564.00   | 0.28%             | 2032-05-20      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2022-1 A                              | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5726388 | PA      | $5497120.00   | 0.20%             | 2032-03-20      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC       | VCAT Asset Securitization LLC 2021-NPL1 A1                         | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    954942 | PA      | $900245.00    | 0.03%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC        | United Wholesale Mortgage LLC 2021-INV4 A3                         | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3225426 | PA      | $2601992.00   | 0.09%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC             | Vantage Data Centers LLC 2020-1A A2                                | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6324000 | PA      | $5566912.00   | 0.20%             | 2045-09-15      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC             | Vantage Data Centers LLC 2020-2A A2                                | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   4083000 | PA      | $3342015.00   | 0.12%             | 2045-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| VASA Trust                           | VASA Trust 2021-VASA A                                             | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3768000 | PA      | $3486857.00   | 0.12%             | 2039-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag       | Wells Fargo Commercial Mortgage Trust 2021-SAVE A                  | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2718884 | PA      | $2540281.00   | 0.09%             | 2040-02-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts                     | Westgate Resorts 2022-1A A                                         | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2032986 | PA      | $1938201.00   | 0.07%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivable       | Westlake Automobile Receivable Trust 2020-1A D                     | CUSIP: 96042KAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4016000 | PA      | $3923209.00   | 0.14%             | 2025-06-16      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                                  | US 5YR NOTE (CBT) Mar23                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1647 | NC      | $-497021.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 2YR NOTE (CBT) Mar23                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      2159 | NC      | $178742.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10yr Ultra Fut Mar23                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -271 | NC      | $404383.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US ULTRA BOND CBT Mar23                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       161 | NC      | $-553258.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-14

**Name of Applicant:** JANUS INVESTMENT FUND

**Signature:** JESPER NERGAARD

**Name of Signer:** JESPER NERGAARD

**Title:** VP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER