# EDGAR Filing Document

**Accession Number:** 0000029440
**File Stem:** 0001193125-26-080196
**Filing Date:** 2026-2
**Character Count:** 658979
**Document Hash:** f6d7c36363e4bc1a8615c350cbcb2036
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-080196.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001193125-26-080196

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DODGE & COX FUNDS
- **CENTRAL INDEX KEY:** 0000029440

**ORGANIZATION NAME:**
- **EIN:** 946067274
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00173
- **FILM NUMBER:** 26694461

**BUSINESS ADDRESS:**
- **STREET 1:** 555 CALIFORNIA ST
- **STREET 2:** 40 TH FLOOR
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94104
- **BUSINESS PHONE:** 4159811710

**MAIL ADDRESS:**
- **STREET 1:** 555 CALIFORNIA ST
- **STREET 2:** 40 TH FLOOR
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94104

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DODGE & COX BALANCED FUND/CA
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Dodge & Cox Income Fund (Series ID: S000011205)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030878 | Class I      | DODIX           |
| C000235737 | Class X      | DOXIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Dodge & Cox Funds

- **b. Investment Company Act file number:** 811-00173

- **c. CIK number of Registrant:** 0000029440

- **d. LEI of Registrant:** 549300R3H2V5UI5MR803

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

  - **Street Address 1:** 555 California Street

  - **City:** San Francisco

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94104

  - **Telephone number:** 415-981-1710

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

- **a. Name of Series:** Dodge & Cox Income Fund

- **b. EDGAR series identifier (if any):** S000011205

- **c. LEI of Series:** 5493009DXXXVQJ40VE42

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

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

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $104344415077.01

**Total Liabilities:** $55907018.65

**Net Assets:** $104288508058.36

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 72906.000000000000 | **1-Year:** 2809873.130000000000 | **5-Year:** 20138268.320000000000 | **10-Year:** 21956431.650000000000 | **30-Year:** 9740235.290000000000

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

- **3-Month:** 5482.180000000000 | **1-Year:** 110595.910000000000 | **5-Year:** 709980.420000000000 | **10-Year:** 919787.920000000000 | **30-Year:** 743982.010000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030878 | 0.78%                | 0.62%                | -0.12%               |
| Class ID C000235737 | 0.78%                | 0.70%                | -0.17%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4914020.09              | $395652926.48                              |
| Month 2  | $-14346008.63            | $271956395.35                              |
| Month 3  | $2554133.37              | $-450925383.75                             |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AT&T, Inc.                                         | AT&T, Inc. 4.30 02/15/2030                                             | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    7230000 | PA      | $7239133.37    | 0.01%             | 2030-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                         | AT&T, Inc. 2.75 06/01/2031                                             | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  212302000 | PA      | $194976507.21  | 0.19%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                         | AT&T, Inc. 2.55 12/01/2033                                             | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   62487000 | PA      | $53330795.51   | 0.05%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 2.875 09/15/2029                                 | CUSIP: 036752AL7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    6837000 | PA      | $6517115.30    | 0.01%             | 2029-09-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 2.25 05/15/2030                                  | CUSIP: 036752AN3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   56396000 | PA      | $51778173.70   | 0.05%             | 2030-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 5.15 06/15/2029                                  | CUSIP: 036752AY9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   22704000 | PA      | $23427334.91   | 0.02%             | 2029-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 4.75 02/15/2030                                  | CUSIP: 036752BB8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |  147490000 | PA      | $150428235.31  | 0.14%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 4.50 10/30/2026                                  | CUSIP: 036752BG7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   24840000 | PA      | $24943519.21   | 0.02%             | 2026-10-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 6.343 08/02/2030                          | CUSIP: 054989AA6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   35910000 | PA      | $38839155.72   | 0.04%             | 2030-08-02      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 6.421 08/02/2033                          | CUSIP: 054989AB4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   71200000 | PA      | $78564633.23   | 0.08%             | 2033-08-02      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 2.259 03/25/2028                          | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   62309000 | PA      | $59958070.21   | 0.06%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 2.726 03/25/2031                          | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   70825000 | PA      | $65299269.62   | 0.06%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 4.742 03/16/2032                          | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  276220000 | PA      | $278740880.40  | 0.27%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 7.75 10/19/2032                           | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   39225000 | PA      | $45816312.12   | 0.04%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 4.375 05/12/2026                                        | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  159024000 | PA      | $158985500.29  | 0.15%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                   | Burlington Northern Santa Fe LLC 3.442 06/16/2028                      | CUSIP: 05581JAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   53635812 | PA      | $52614800.23   | 0.05%             | 2028-06-16      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 4.625 03/13/2027                                        | CUSIP: 05581KAC5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  291170000 | PA      | $292259331.03  | 0.28%             | 2027-03-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 4.25 10/22/2026                                  | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  159254000 | PA      | $159628215.05  | 0.15%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 3.593 07/21/2028                                 | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   39085000 | PA      | $38815610.94   | 0.04%             | 2028-07-21      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 3.419 12/20/2028                                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  116354000 | PA      | $114890504.04  | 0.11%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 2.496 02/13/2031                                 | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   85670000 | PA      | $79796048.44   | 0.08%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 2.572 10/20/2032                                 | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19341000 | PA      | $17443709.02   | 0.02%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 3.846 03/08/2037                                 | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  418561000 | PA      | $394173610.30  | 0.38%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 4.948 07/22/2028                                 | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   34355000 | PA      | $34841436.22   | 0.03%             | 2028-07-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 5.015 07/22/2033                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   16505000 | PA      | $16829355.27   | 0.02%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 6.204 11/10/2028                                 | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   42730000 | PA      | $44401241.66   | 0.04%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 5.202 04/25/2029                                 | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   24840000 | PA      | $25476099.24   | 0.02%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 5.288 04/25/2034                                 | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   24705000 | PA      | $25434944.80   | 0.02%             | 2034-04-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 4.979 01/24/2029                                 | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  120570000 | PA      | $122826309.60  | 0.12%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 4.623 05/09/2029                                 | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  125040000 | PA      | $126698743.13  | 0.12%             | 2029-05-09      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 8.75 09/01/2030                                   | CUSIP: 06423AAJ2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   80647000 | PA      | $94952276.96   | 0.09%             | 2030-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.20 05/12/2026                                           | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   55538000 | PA      | $55777680.90   | 0.05%             | 2026-05-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 4.836 05/09/2028                                          | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   99714000 | PA      | $100565873.65  | 0.10%             | 2028-05-09      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.088 06/20/2030                                          | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   94704000 | PA      | $96315433.07   | 0.09%             | 2030-06-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 3.564 09/23/2035                                          | CUSIP: 06738EBP9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   39975000 | PA      | $37720660.24   | 0.04%             | 2035-09-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.501 08/09/2028                                          | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   71955000 | PA      | $73514526.05   | 0.07%             | 2028-08-09      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.829 05/09/2027                                          | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  132395000 | PA      | $133140035.65  | 0.13%             | 2027-05-09      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 6.49 09/13/2029                                           | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   73115000 | PA      | $77268318.05   | 0.07%             | 2029-09-13      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.674 03/12/2028                                          | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   35000000 | PA      | $35623296.80   | 0.03%             | 2028-03-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.69 03/12/2030                                           | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   55000000 | PA      | $57233735.35   | 0.05%             | 2030-03-12      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                           | Bayer AG 6.25 01/21/2029                                               | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |  124545000 | PA      | $130921768.76  | 0.13%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                           | Bayer AG 6.375 11/21/2030                                              | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |  192715000 | PA      | $206036524.59  | 0.20%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                           | Bayer AG 6.50 11/21/2033                                               | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |  166821000 | PA      | $180599555.47  | 0.17%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                           | Bayer AG 4.375 12/15/2028                                              | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    4485000 | PA      | $4489914.93    | 0.00%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 2.588 08/12/2035                                        | CUSIP: 09659T2B6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   37175000 | PA      | $33610314.90   | 0.03%             | 2035-08-12      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 5.906 11/19/2035                                        | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   37450000 | PA      | $38884727.48   | 0.04%             | 2035-11-19      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 2.871 04/19/2032                                        | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   24300000 | PA      | $22183329.30   | 0.02%             | 2032-04-19      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 2.591 01/20/2028                                        | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   52976000 | PA      | $52156440.62   | 0.05%             | 2028-01-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 5.497 05/20/2030                                        | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   31325000 | PA      | $32404471.09   | 0.03%             | 2030-05-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 5.786 01/13/2033                                        | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  190040000 | PA      | $199491589.99  | 0.19%             | 2033-01-13      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 5.085 05/09/2031                                        | CUSIP: 09659W3D4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  172553000 | PA      | $176145960.69  | 0.17%             | 2031-05-09      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                            | BMW Vehicle Owner Trust 4.56 09/25/2029                                | CUSIP: 096924AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  139500000 | PA      | $140902993.35  | 0.14%             | 2029-09-25      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                            | BMW Vehicle Owner Trust 4.66 12/27/2032                                | CUSIP: 096924AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   42850000 | PA      | $43624556.60   | 0.04%             | 2032-12-27      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 3.65 02/01/2026                                | CUSIP: 10112RAX2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   45705000 | PA      | $45671419.62   | 0.04%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 4.50 12/01/2028                                | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  109836000 | PA      | $110545898.63  | 0.11%             | 2028-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 3.40 06/21/2029                                | CUSIP: 10112RBB9<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   98273000 | PA      | $95151186.18   | 0.09%             | 2029-06-21      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 2.90 03/15/2030                                | CUSIP: 10112RBC7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   67090000 | PA      | $62903452.50   | 0.06%             | 2030-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 3.25 01/30/2031                                | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  268354000 | PA      | $251681369.93  | 0.24%             | 2031-01-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 6.75 12/01/2027                                | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   28500000 | PA      | $29810132.46   | 0.03%             | 2027-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 6.50 01/15/2034                                | CUSIP: 10112RBH6<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  110348000 | PA      | $118783285.82  | 0.11%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.25 02/01/2031                           | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   42230000 | PA      | $38803039.72   | 0.04%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.50 06/01/2033                           | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  356946000 | PA      | $312455736.56  | 0.30%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.50 05/01/2032                           | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  191783000 | PA      | $172132396.01  | 0.17%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.25 01/15/2034                           | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  111480000 | PA      | $94788582.31   | 0.09%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| The Cigna Group                                    | The Cigna Group 4.375 10/15/2028                                       | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   96780000 | PA      | $97659740.85   | 0.09%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| The Cigna Group                                    | The Cigna Group 7.875 05/15/2027                                       | CUSIP: 125523AX8<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   26273000 | PA      | $27525192.72   | 0.03%             | 2027-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| The Cigna Group                                    | The Cigna Group 2.40 03/15/2030                                        | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   94669000 | PA      | $87861389.13   | 0.08%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| The Cigna Group                                    | The Cigna Group 5.00 05/15/2029                                        | CUSIP: 125523CT5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   30800000 | PA      | $31632518.76   | 0.03%             | 2029-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 4.30 03/25/2028                                       | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  119120000 | PA      | $119514506.38  | 0.11%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 3.25 08/15/2029                                       | CUSIP: 126650DG2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   12896000 | PA      | $12448895.29   | 0.01%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 3.75 04/01/2030                                       | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   94354000 | PA      | $92132659.63   | 0.09%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 4.125 04/01/2040                                      | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   23944000 | PA      | $20461822.16   | 0.02%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 1.875 02/28/2031                                      | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   21696000 | PA      | $19035977.32   | 0.02%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 2.125 09/15/2031                                      | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   14895000 | PA      | $13084738.71   | 0.01%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 5.125 02/21/2030                                      | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  132971000 | PA      | $136609635.73  | 0.13%             | 2030-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 5.25 01/30/2031                                       | CUSIP: 126650DX5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    9965000 | PA      | $10297222.34   | 0.01%             | 2031-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 5.40 06/01/2029                                       | CUSIP: 126650EB2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   78750000 | PA      | $81561017.48   | 0.08%             | 2029-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 5.55 06/01/2031                                       | CUSIP: 126650EC0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   38850000 | PA      | $40659089.10   | 0.04%             | 2031-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 6.75 12/10/2054                                       | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   22580000 | PA      | $23581874.60   | 0.02%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 7.00 03/10/2055                                       | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  174664000 | PA      | $183230933.85  | 0.18%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| State of California GO                             | State of California GO 7.50 04/01/2034                                 | CUSIP: 13063A5E0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |  112606000 | PA      | $131372724.53  | 0.13%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| State of California GO                             | State of California GO 7.55 04/01/2039                                 | CUSIP: 13063A5G5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |   46390000 | PA      | $56297855.59   | 0.05%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| State of California GO                             | State of California GO 7.30 10/01/2039                                 | CUSIP: 13063A7D0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |  223385000 | PA      | $259969364.59  | 0.25%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| State of California GO                             | State of California GO 7.35 11/01/2039                                 | CUSIP: 13063BBU5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |   17190000 | PA      | $20090449.79   | 0.02%             | 2039-11-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| State of California GO                             | State of California GO 7.625 03/01/2040                                | CUSIP: 13063BFR8<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |   49430000 | PA      | $59594340.33   | 0.06%             | 2040-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 3.75 07/28/2026                            | CUSIP: 14040HBK0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   11745000 | PA      | $11720410.90   | 0.01%             | 2026-07-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 4.927 05/10/2028                           | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   93302000 | PA      | $94400640.38   | 0.09%             | 2028-05-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 6.312 06/08/2029                           | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   71594000 | PA      | $75134366.97   | 0.07%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 7.624 10/30/2031                           | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  108139000 | PA      | $122212844.24  | 0.12%             | 2031-10-30      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 5.70 02/01/2030                            | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   36365000 | PA      | $37808737.77   | 0.04%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 5.463 07/26/2030                           | CUSIP: 14040HDG7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   91780000 | PA      | $95113288.99   | 0.09%             | 2030-07-26      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                    | Cemex SAB de CV 5.45 11/19/2029                                        | CUSIP: 151290BV4<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |   82677000 | PA      | $83719308.94   | 0.08%             | 2029-11-19      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                    | Cemex SAB de CV 5.20 09/17/2030                                        | CUSIP: 151290BX0<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |  218377000 | PA      | $221411566.79  | 0.21%             | 2030-09-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                    | Cemex SAB de CV 3.875 07/11/2031                                       | CUSIP: 151290BZ5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |   95670000 | PA      | $91609363.39   | 0.09%             | 2031-07-11      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 6.484 10/23/2045                          | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  402912000 | PA      | $378804276.21  | 0.36%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 5.375 05/01/2047                          | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   87499000 | PA      | $72076829.63   | 0.07%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 5.75 04/01/2048                           | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  205326000 | PA      | $175140170.58  | 0.17%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 5.125 07/01/2049                          | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   33204000 | PA      | $25983798.50   | 0.02%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.80 03/01/2050                           | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27468000 | PA      | $20633951.44   | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.40 04/01/2033                           | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   40140000 | PA      | $37814609.52   | 0.04%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc. 4.45 09/29/2027                                        | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   45649000 | PA      | $45942649.06   | 0.04%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc. 4.412 03/31/2031                                       | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   87795000 | PA      | $87780313.65   | 0.08%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc. 7.875% 10/30/40                                        | CUSIP: 173080201<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16735998 | NS      | $505594499.58  | 0.48%             | 2040-10-30      | Variable      | 10.47%                | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc. 6.174 05/25/2034                                       | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   94825000 | PA      | $100702767.45  | 0.10%             | 2034-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 3.125 04/15/2031                     | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   94040000 | PA      | $81438640.00   | 0.08%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 7.75 11/07/2036                      | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  128745000 | PA      | $134171601.75  | 0.13%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 8.375 11/07/2054                     | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   31275000 | PA      | $33167137.50   | 0.03%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 7.375 04/25/2030                     | CUSIP: 195325ER2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  148265000 | PA      | $156567840.00  | 0.15%             | 2030-04-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                      | Comcast Corp. 2.65 02/01/2030                                          | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   51225000 | PA      | $48346339.41   | 0.05%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                      | Comcast Corp. 3.40 04/01/2030                                          | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   32060000 | PA      | $31093050.84   | 0.03%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                      | Comcast Corp. 4.95 05/15/2032                                          | CUSIP: 20030NER8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   41745000 | PA      | $42758984.80   | 0.04%             | 2032-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 3.35 09/15/2026                                  | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |  160921000 | PA      | $160070941.25  | 0.15%             | 2026-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 3.50 08/15/2027                                  | CUSIP: 224044CJ4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   39703000 | PA      | $39248183.47   | 0.04%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 1.80 10/01/2030                                  | CUSIP: 224044CL9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   52941000 | PA      | $46331432.62   | 0.04%             | 2030-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 5.45 09/15/2028                                  | CUSIP: 224044CR6<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   64710000 | PA      | $66573508.87   | 0.06%             | 2028-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 5.70 06/15/2033                                  | CUSIP: 224044CS4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   39225000 | PA      | $39562839.83   | 0.04%             | 2033-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 4.194 04/01/2031                                          | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   22300000 | PA      | $22087454.91   | 0.02%             | 2031-04-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 6.327 12/22/2027                                          | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   46075000 | PA      | $47033952.06   | 0.05%             | 2027-12-22      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 6.246 09/22/2029                                          | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   39775000 | PA      | $41869667.25   | 0.04%             | 2029-09-22      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 6.301 09/22/2034                                          | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   68065000 | PA      | $74248601.79   | 0.07%             | 2034-09-22      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Dell Technologies, Inc.                            | Dell Technologies, Inc. 6.10 07/15/2027                                | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   37060000 | PA      | $38072754.93   | 0.04%             | 2027-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                    | Dillard's, Inc. 7.75 07/15/2026                                        | CUSIP: 254063AU4<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |   20556000 | PA      | $20822781.11   | 0.02%             | 2026-07-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                    | Dillard's, Inc. 7.75 05/15/2027                                        | CUSIP: 254063AW0<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |   12913000 | PA      | $13352305.68   | 0.01%             | 2027-05-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                    | Dillard's, Inc. 7.00 12/01/2028                                        | CUSIP: 254067AN1<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |   27610000 | PA      | $29006476.25   | 0.03%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                              | Dominion Energy, Inc. 3.375 04/01/2030                                 | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  107797000 | PA      | $104006595.53  | 0.10%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                              | Dominion Energy, Inc. 1.45 04/15/2026                                  | CUSIP: 25746UDJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   30340000 | PA      | $30113983.38   | 0.03%             | 2026-04-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                              | Dominion Energy, Inc. 5.00 06/15/2030                                  | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  122677000 | PA      | $126042645.95  | 0.12%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                              | Dominion Energy, Inc. 4.60 05/15/2028                                  | CUSIP: 25746UDY2<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   27930000 | PA      | $28255970.47   | 0.03%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.33867 07/26/2066                       | CUSIP: 26827XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9988175 | PA      | $10102703.93   | 0.01%             | 2066-07-26      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 4.92419 11/25/2074                       | CUSIP: 26827YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  352328728 | PA      | $352327882.36  | 0.34%             | 2074-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.02419 11/27/2073                       | CUSIP: 26828PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  200639949 | PA      | $201587791.71  | 0.19%             | 2073-11-27      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.03867 05/25/2067                       | CUSIP: 26828VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5078314 | PA      | $5070401.04    | 0.00%             | 2067-05-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.18867 12/27/2066                       | CUSIP: 26828WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24022760 | PA      | $24203074.35   | 0.02%             | 2066-12-27      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.13867 11/25/2069                       | CUSIP: 26829HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3960625 | PA      | $3986097.47    | 0.00%             | 2069-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 4.82419 04/25/2074                       | CUSIP: 26829WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  362647332 | PA      | $362211539.17  | 0.35%             | 2074-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health, Inc.                         | Elanco Animal Health, Inc. 6.65 08/28/2028                             | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |  123981000 | PA      | $129564676.51  | 0.12%             | 2028-08-28      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                           | Enel SPA 6.80 09/15/2037                                               | CUSIP: 29268BAC5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   77697000 | PA      | $87226316.39   | 0.08%             | 2037-09-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                           | Enel SPA 6.00 10/07/2039                                               | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  119647000 | PA      | $125730016.20  | 0.12%             | 2039-10-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                           | Enel SPA 5.00 06/15/2032                                               | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    7150000 | PA      | $7277440.74    | 0.01%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                           | Enel SPA 7.50 10/14/2032                                               | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   17497000 | PA      | $20157375.63   | 0.02%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                               | Meta Platforms, Inc. 4.60 11/15/2032                                   | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   64000000 | PA      | $64514503.04   | 0.06%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                               | Meta Platforms, Inc. 4.875 11/15/2035                                  | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |  163990000 | PA      | $163770255.04  | 0.16%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 01/01/2035                                       | CUSIP: 31283H5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     881486 | PA      | $907023.78     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 12/01/2032                                       | CUSIP: 31283H6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     625604 | PA      | $656068.26     | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 02/01/2035                                       | CUSIP: 31283H6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1435846 | PA      | $1503145.86    | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 7.00 04/01/2031                                       | CUSIP: 31283HY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160293 | PA      | $168490.98     | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 03/01/2034                                       | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1827502 | PA      | $1877972.41    | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.363 12/01/2050                                           | CUSIP: 31288Q2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59496873 | PA      | $56081135.53   | 0.05%             | 2050-12-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.622 02/01/2049                                           | CUSIP: 31288QBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1929337 | PA      | $2012255.27    | 0.00%             | 2049-02-01      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.28 01/01/2049                                            | CUSIP: 31288QFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47212167 | PA      | $46485819.35   | 0.04%             | 2049-01-01      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.284 09/01/2050                                           | CUSIP: 31288QLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21495853 | PA      | $20264682.21   | 0.02%             | 2050-09-01      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 1.852 08/01/2051                                           | CUSIP: 31288QPW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  168275669 | PA      | $160825958.83  | 0.15%             | 2051-08-01      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.182 11/01/2050                                           | CUSIP: 31288QQ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   54617602 | PA      | $50906860.89   | 0.05%             | 2050-11-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.302 05/01/2052                                           | CUSIP: 31288QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30619841 | PA      | $28119525.42   | 0.03%             | 2052-05-01      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.023 05/01/2052                                           | CUSIP: 31288QRQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   83226880 | PA      | $76115996.60   | 0.07%             | 2052-05-01      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 1.966 04/01/2052                                           | CUSIP: 31288QRW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   86376863 | PA      | $78516730.66   | 0.08%             | 2052-04-01      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.339 06/01/2052                                           | CUSIP: 31288QSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10959381 | PA      | $10501948.80   | 0.01%             | 2052-06-01      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.171 09/01/2052                                           | CUSIP: 31288QUJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37731495 | PA      | $37549069.95   | 0.04%             | 2052-09-01      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.107 10/01/2052                                           | CUSIP: 31288QUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48590713 | PA      | $47839559.35   | 0.05%             | 2052-10-01      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.511 06/01/2053                                           | CUSIP: 31288QW63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28353251 | PA      | $28215173.68   | 0.03%             | 2053-06-01      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.524 04/01/2053                                           | CUSIP: 31288QWR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42679853 | PA      | $42504976.25   | 0.04%             | 2053-04-01      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.573 08/01/2053                                           | CUSIP: 31288QX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22193534 | PA      | $22122390.28   | 0.02%             | 2053-08-01      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.75 08/01/2053                                            | CUSIP: 31288QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31993190 | PA      | $32011404.66   | 0.03%             | 2053-08-01      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.135 01/01/2053                                           | CUSIP: 31288QZ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  162042631 | PA      | $160942314.18  | 0.15%             | 2053-01-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 10/01/2026                                       | CUSIP: 3128CUKS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43950 | PA      | $45640.32      | 0.00%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 01/01/2034                                       | CUSIP: 3128CUXL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4520491 | PA      | $4494005.02    | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 11/01/2034                                       | CUSIP: 3128CUXX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3654088 | PA      | $3623586.87    | 0.00%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2030                                       | CUSIP: 3128E5JT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1322129 | PA      | $1329977.94    | 0.00%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2031                                       | CUSIP: 3128E5RY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     653237 | PA      | $659453.37     | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2031                                       | CUSIP: 3128E5VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1400788 | PA      | $1412915.76    | 0.00%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.522 09/01/2033                                           | CUSIP: 3128JLEY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     750723 | PA      | $772719.74     | 0.00%             | 2033-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.544 08/01/2034                                           | CUSIP: 3128JMBB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145823 | PA      | $151377.46     | 0.00%             | 2034-08-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.648 01/01/2037                                           | CUSIP: 3128JNN84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230743 | PA      | $236894.56     | 0.00%             | 2037-01-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.616 03/01/2035                                           | CUSIP: 3128JRL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179195 | PA      | $186052.30     | 0.00%             | 2035-03-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.408 08/01/2035                                           | CUSIP: 3128JRLN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175704 | PA      | $181184.81     | 0.00%             | 2035-08-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.791 04/01/2036                                           | CUSIP: 3128JRQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442717 | PA      | $460093.38     | 0.00%             | 2036-04-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 12/01/2033                                       | CUSIP: 3128LXFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20965 | PA      | $21801.04      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 06/01/2035                                       | CUSIP: 3128M42Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29214 | PA      | $30264.21      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 10/01/2037                                       | CUSIP: 3128M5K90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7360 | PA      | $7836.34       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 03/01/2038                                       | CUSIP: 3128M6FT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1273765 | PA      | $1345502.80    | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2040                                       | CUSIP: 3128M73B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2165229 | PA      | $2185503.36    | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2039                                       | CUSIP: 3128M7HF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2141491 | PA      | $2162521.21    | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 7.00 11/01/2038                                       | CUSIP: 3128M7RY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319789 | PA      | $336153.53     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 07/01/2035                                       | CUSIP: 3128M7Z33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1082893 | PA      | $1111751.40    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 12/01/2038                                       | CUSIP: 3128M86L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7980365 | PA      | $8352914.90    | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 03/01/2038                                       | CUSIP: 3128M8FY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     374763 | PA      | $395776.65     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 01/01/2038                                       | CUSIP: 3128M8HP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1117692 | PA      | $1183108.01    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2041                                       | CUSIP: 3128M8P81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6889026 | PA      | $6943283.56    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 02/01/2039                                       | CUSIP: 3128M8T38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1311204 | PA      | $1387918.80    | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 06/01/2041                                       | CUSIP: 3128M8VS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3678433 | PA      | $3705140.39    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2044                                       | CUSIP: 3128M96L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4466388 | PA      | $4474466.89    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 06/01/2042                                       | CUSIP: 3128M9D74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2318709 | PA      | $2334830.10    | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2042                                       | CUSIP: 3128M9GQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3828617 | PA      | $3859164.32    | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2041                                       | CUSIP: 3128M9UF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1469365 | PA      | $1480934.42    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2043                                       | CUSIP: 3128M9YH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1614156 | PA      | $1616577.24    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 02/01/2044                                       | CUSIP: 3128M9YZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2871745 | PA      | $2880486.54    | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 08/01/2044                                       | CUSIP: 3128MADW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2996457 | PA      | $2994472.87    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 08/01/2044                                       | CUSIP: 3128MAEL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2762845 | PA      | $2772394.77    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2044                                       | CUSIP: 3128MAEP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32781011 | PA      | $32867314.11   | 0.03%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 06/01/2026                                       | CUSIP: 3128MDQL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3672 | PA      | $3677.03       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 09/01/2034                                       | CUSIP: 3128MJAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146787 | PA      | $150967.41     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2039                                       | CUSIP: 3128MJMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1492101 | PA      | $1506758.49    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2041                                       | CUSIP: 3128MJPY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1196133 | PA      | $1204939.79    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 09/01/2044                                       | CUSIP: 3128MJU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6676583 | PA      | $6672160.53    | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 10/01/2044                                       | CUSIP: 3128MJVD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     908741 | PA      | $908138.67     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2044                                       | CUSIP: 3128MJVP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1625893 | PA      | $1624816.26    | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 02/01/2046                                       | CUSIP: 3128MJX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7789316 | PA      | $7784157.27    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 03/01/2046                                       | CUSIP: 3128MJX54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12626078 | PA      | $12224605.41   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 05/01/2046                                       | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5479697 | PA      | $5304894.94    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 09/01/2046                                       | CUSIP: 3128MJYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2489535 | PA      | $2409857.34    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 09/01/2037                                       | CUSIP: 3128MT6K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        896 | PA      | $918.55        | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.51 01/01/2035                                            | CUSIP: 3128NCDF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44483 | PA      | $45450.23      | 0.00%             | 2035-01-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.299 10/01/2035                                           | CUSIP: 3128NCM43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260285 | PA      | $266962.64     | 0.00%             | 2035-10-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2033                                       | CUSIP: 3128P75F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     946535 | PA      | $956322.22     | 0.00%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 01/01/2034                                       | CUSIP: 3128P75K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2757601 | PA      | $2786082.99    | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 06/01/2034                                       | CUSIP: 3128P76A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8227717 | PA      | $8166625.39    | 0.01%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 07/01/2034                                       | CUSIP: 3128P76E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6629504 | PA      | $6580212.12    | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 07/01/2034                                       | CUSIP: 3128P76Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2123624 | PA      | $2106892.03    | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 10/01/2034                                       | CUSIP: 3128P77G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4909154 | PA      | $4865824.44    | 0.00%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 11/01/2034                                       | CUSIP: 3128P77M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1942596 | PA      | $1924990.11    | 0.00%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2030                                       | CUSIP: 3128P7NT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1801714 | PA      | $1812681.68    | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 08/01/2030                                       | CUSIP: 3128P7PH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288260 | PA      | $290100.24     | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 09/01/2030                                       | CUSIP: 3128P7PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1035888 | PA      | $1042651.60    | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2031                                       | CUSIP: 3128P7QX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428042 | PA      | $431616.19     | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2031                                       | CUSIP: 3128P7RB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4695397 | PA      | $4735527.01    | 0.00%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 09/01/2031                                       | CUSIP: 3128P7RQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6465529 | PA      | $6449480.71    | 0.01%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 12/01/2034                                       | CUSIP: 3128P8AC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1537136 | PA      | $1522817.73    | 0.00%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 01/01/2036                                       | CUSIP: 3128P8B75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4377266 | PA      | $4267757.82    | 0.00%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 07/01/2035                                       | CUSIP: 3128P8BJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8145204 | PA      | $7959771.43    | 0.01%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 09/01/2035                                       | CUSIP: 3128P8BS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1621218 | PA      | $1582808.31    | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 10/01/2035                                       | CUSIP: 3128P8BW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10875928 | PA      | $10607703.41   | 0.01%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 11/01/2035                                       | CUSIP: 3128P8BZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3189099 | PA      | $3110434.52    | 0.00%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.62 08/01/2035                                            | CUSIP: 3128QJGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448905 | PA      | $463765.25     | 0.00%             | 2035-08-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.306 01/01/2036                                           | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     495171 | PA      | $517096.78     | 0.00%             | 2036-01-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.58 01/01/2036                                            | CUSIP: 3128QLRM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     450641 | PA      | $458106.42     | 0.00%             | 2036-01-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.158 12/01/2036                                           | CUSIP: 3128QPM33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     258022 | PA      | $265954.83     | 0.00%             | 2036-12-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.476 03/01/2037                                           | CUSIP: 3128QS6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488432 | PA      | $502672.09     | 0.00%             | 2037-03-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.57 04/01/2037                                            | CUSIP: 3128QSDN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     303637 | PA      | $311915.08     | 0.00%             | 2037-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.48 04/01/2037                                            | CUSIP: 3128QSDP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308742 | PA      | $319765.88     | 0.00%             | 2037-04-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.625 05/01/2037                                           | CUSIP: 3128QSFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116299 | PA      | $120045.39     | 0.00%             | 2037-05-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.35 07/01/2037                                            | CUSIP: 3128QSJZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     830183 | PA      | $861589.64     | 0.00%             | 2037-07-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.085 01/01/2038                                           | CUSIP: 3128QSUG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33633 | PA      | $34730.42      | 0.00%             | 2038-01-01      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.934 05/01/2038                                           | CUSIP: 3128QTDJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107751 | PA      | $111436.29     | 0.00%             | 2038-05-01      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.144 01/01/2036                                           | CUSIP: 3128S4AX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247920 | PA      | $256981.29     | 0.00%             | 2036-01-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.582 09/01/2035                                           | CUSIP: 3128S4DL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     315379 | PA      | $325841.48     | 0.00%             | 2035-09-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.187 08/01/2036                                           | CUSIP: 3128S4EP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     441818 | PA      | $452651.82     | 0.00%             | 2036-08-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.993 02/01/2038                                           | CUSIP: 3128S4Q83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153834 | PA      | $157104.35     | 0.00%             | 2038-02-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.268 06/01/2038                                           | CUSIP: 3128S4TM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     262531 | PA      | $270004.35     | 0.00%             | 2038-06-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.698 04/01/2038                                           | CUSIP: 3128S4TN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42065 | PA      | $43321.23      | 0.00%             | 2038-04-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.685 04/01/2038                                           | CUSIP: 3128S4TP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     555812 | PA      | $577242.07     | 0.00%             | 2038-04-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.25 10/01/2038                                            | CUSIP: 3128S4ZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52583 | PA      | $53745.86      | 0.00%             | 2038-10-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.578 11/01/2039                                           | CUSIP: 3128S5V43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139068 | PA      | $142714.44     | 0.00%             | 2039-11-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 09/01/2037                                       | CUSIP: 3128UNCE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4236 | PA      | $4404.94       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 09/01/2037                                       | CUSIP: 3128UNCF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164874 | PA      | $174608.58     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 11/01/2037                                       | CUSIP: 3128UNDW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3388 | PA      | $3485.99       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 06/01/2038                                       | CUSIP: 3128UNGL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77796 | PA      | $81096.51      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 10/01/2038                                       | CUSIP: 3128UNGP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152589 | PA      | $156483.38     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 02/01/2041                                       | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2660907 | PA      | $2681590.60    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2041                                       | CUSIP: 312946JY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     899010 | PA      | $905260.55     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.567 10/01/2038                                           | CUSIP: 31300LH24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320801 | PA      | $330812.42     | 0.00%             | 2038-10-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.273 08/01/2045                                           | CUSIP: 31300M2J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2963170 | PA      | $3078620.06    | 0.00%             | 2045-08-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.356 09/01/2045                                           | CUSIP: 31300M2U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     775295 | PA      | $804256.16     | 0.00%             | 2045-09-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.367 01/01/2044                                           | CUSIP: 31300MGW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     835636 | PA      | $870096.75     | 0.00%             | 2044-01-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.626 07/01/2043                                           | CUSIP: 31300MH97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125083 | PA      | $129800.91     | 0.00%             | 2043-07-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.633 04/01/2044                                           | CUSIP: 31300MKL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     661042 | PA      | $688194.61     | 0.00%             | 2044-04-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.495 05/01/2044                                           | CUSIP: 31300MLG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11614565 | PA      | $12073279.77   | 0.01%             | 2044-05-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.627 04/01/2044                                           | CUSIP: 31300MMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     537847 | PA      | $556713.60     | 0.00%             | 2044-04-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.41 06/01/2044                                            | CUSIP: 31300MMV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1175913 | PA      | $1222207.61    | 0.00%             | 2044-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.245 08/01/2044                                           | CUSIP: 31300MN25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274293 | PA      | $282978.17     | 0.00%             | 2044-08-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.272 07/01/2044                                           | CUSIP: 31300MNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     783147 | PA      | $812090.56     | 0.00%             | 2044-07-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.308 11/01/2044                                           | CUSIP: 31300MR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     572283 | PA      | $594971.54     | 0.00%             | 2044-11-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.111 11/01/2044                                           | CUSIP: 31300MR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     994228 | PA      | $1032627.09    | 0.00%             | 2044-11-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.333 10/01/2044                                           | CUSIP: 31300MRD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1694537 | PA      | $1762571.17    | 0.00%             | 2044-10-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.308 09/01/2044                                           | CUSIP: 31300MRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     524762 | PA      | $542615.57     | 0.00%             | 2044-09-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.426 08/01/2043                                           | CUSIP: 31300MS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2310096 | PA      | $2414035.86    | 0.00%             | 2043-08-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.518 08/01/2044                                           | CUSIP: 31300MSP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1357306 | PA      | $1412436.26    | 0.00%             | 2044-08-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.261 11/01/2044                                           | CUSIP: 31300MSZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2658799 | PA      | $2764658.60    | 0.00%             | 2044-11-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.433 01/01/2045                                           | CUSIP: 31300MTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1388395 | PA      | $1437017.85    | 0.00%             | 2045-01-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.583 02/01/2045                                           | CUSIP: 31300MUL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     883386 | PA      | $919699.36     | 0.00%             | 2045-02-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.319 01/01/2045                                           | CUSIP: 31300MVS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1470795 | PA      | $1529232.47    | 0.00%             | 2045-01-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.60 05/01/2045                                            | CUSIP: 31300MYJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2324295 | PA      | $2414253.56    | 0.00%             | 2045-05-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.231 08/01/2045                                           | CUSIP: 31300MZW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44957 | PA      | $46313.07      | 0.00%             | 2045-08-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 02/01/2048                                       | CUSIP: 31323FAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28837845 | PA      | $26845879.05   | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.39 10/01/2043                                            | CUSIP: 31326F4U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218919 | PA      | $227978.01     | 0.00%             | 2043-10-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.61 01/01/2044                                            | CUSIP: 31326GMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     532011 | PA      | $550738.69     | 0.00%             | 2044-01-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.495 02/01/2044                                           | CUSIP: 31326GQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1749422 | PA      | $1815596.58    | 0.00%             | 2044-02-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.139 12/01/2044                                           | CUSIP: 31326H3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1558479 | PA      | $1618109.85    | 0.00%             | 2044-12-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.044 11/01/2044                                           | CUSIP: 31326H4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     950318 | PA      | $988263.41     | 0.00%             | 2044-11-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.242 12/01/2044                                           | CUSIP: 31326H5K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1668195 | PA      | $1731100.82    | 0.00%             | 2044-12-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.005 12/01/2044                                           | CUSIP: 31326H6N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173347 | PA      | $179108.07     | 0.00%             | 2044-12-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.154 12/01/2044                                           | CUSIP: 31326H7K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1489355 | PA      | $1543705.60    | 0.00%             | 2044-12-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.427 01/01/2045                                           | CUSIP: 31326H7M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     433444 | PA      | $449379.97     | 0.00%             | 2045-01-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.255 07/01/2044                                           | CUSIP: 31326HC44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269705 | PA      | $278327.90     | 0.00%             | 2044-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.37 06/01/2044                                            | CUSIP: 31326HEL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422164 | PA      | $436948.07     | 0.00%             | 2044-06-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.36 08/01/2044                                            | CUSIP: 31326HMR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     814126 | PA      | $848743.29     | 0.00%             | 2044-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.37 09/01/2044                                            | CUSIP: 31326HQE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     987247 | PA      | $1027072.87    | 0.00%             | 2044-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.37 09/01/2044                                            | CUSIP: 31326HTD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     667219 | PA      | $692535.89     | 0.00%             | 2044-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.312 10/01/2044                                           | CUSIP: 31326HUB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     392126 | PA      | $410275.32     | 0.00%             | 2044-10-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.039 11/01/2044                                           | CUSIP: 31326HUK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     987157 | PA      | $1024982.31    | 0.00%             | 2044-11-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.357 10/01/2044                                           | CUSIP: 31326HUT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1672878 | PA      | $1737715.23    | 0.00%             | 2044-10-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.323 11/01/2044                                           | CUSIP: 31326HWG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1676692 | PA      | $1744928.76    | 0.00%             | 2044-11-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.196 10/01/2044                                           | CUSIP: 31326HWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2160730 | PA      | $2247272.55    | 0.00%             | 2044-10-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.245 11/01/2044                                           | CUSIP: 31326HWU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1780108 | PA      | $1851418.34    | 0.00%             | 2044-11-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.129 11/01/2044                                           | CUSIP: 31326HX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     650790 | PA      | $677128.98     | 0.00%             | 2044-11-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.059 11/01/2044                                           | CUSIP: 31326HXC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2780035 | PA      | $2886149.94    | 0.00%             | 2044-11-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.112 11/01/2044                                           | CUSIP: 31326HXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     723299 | PA      | $752296.46     | 0.00%             | 2044-11-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.163 10/01/2044                                           | CUSIP: 31326HXT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1612657 | PA      | $1675869.11    | 0.00%             | 2044-10-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.993 11/01/2044                                           | CUSIP: 31326HYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1317538 | PA      | $1366585.36    | 0.00%             | 2044-11-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.995 12/01/2044                                           | CUSIP: 31326HZQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311144 | PA      | $320888.63     | 0.00%             | 2044-12-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.38 08/01/2045                                            | CUSIP: 31326J6W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     987385 | PA      | $1026163.72    | 0.00%             | 2045-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.316 01/01/2045                                           | CUSIP: 31326JCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1107076 | PA      | $1148038.93    | 0.00%             | 2045-01-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.60 01/01/2045                                            | CUSIP: 31326JCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     956675 | PA      | $992904.52     | 0.00%             | 2045-01-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.255 06/01/2045                                           | CUSIP: 31326JYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274389 | PA      | $284759.13     | 0.00%             | 2045-06-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.43 05/01/2046                                            | CUSIP: 31326K4L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1198784 | PA      | $1244259.16    | 0.00%             | 2046-05-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.285 06/01/2047                                           | CUSIP: 31326L3Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     391454 | PA      | $403883.53     | 0.00%             | 2047-06-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.38 08/01/2047                                            | CUSIP: 31326MDE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155749 | PA      | $160636.44     | 0.00%             | 2047-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.39 10/01/2047                                            | CUSIP: 31326MH97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136834 | PA      | $141371.61     | 0.00%             | 2047-10-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 7.00 11/01/2037                                       | CUSIP: 3132A16F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2752 | PA      | $2957.82       | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 07/01/2042                                       | CUSIP: 3132AAXY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2376839 | PA      | $2391773.45    | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 03/01/2042                                       | CUSIP: 3132D9JB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32354687 | PA      | $28998999.71   | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.00 06/01/2050                                       | CUSIP: 3132DMSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   65305521 | PA      | $58354749.77   | 0.06%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2052                                       | CUSIP: 3132DN6E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55627034 | PA      | $47749606.03   | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3132DNE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14627859 | PA      | $13604943.40   | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3132DNMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28716511 | PA      | $26867273.48   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3132DNN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15485590 | PA      | $14488380.02   | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3132DNP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25122717 | PA      | $23442793.23   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 03/01/2052                                       | CUSIP: 3132DNPF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47161503 | PA      | $40506330.10   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3132DNQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  122786094 | PA      | $114879555.73  | 0.11%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3132DNRK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23405012 | PA      | $21897921.72   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3132DNRL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30217231 | PA      | $28149200.00   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 12/01/2052                                       | CUSIP: 3132DPQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   78884084 | PA      | $73148391.68   | 0.07%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2052                                       | CUSIP: 3132DQDA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23540477 | PA      | $20164748.64   | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2052                                       | CUSIP: 3132DQKG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  396287109 | PA      | $340012171.45  | 0.33%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 03/01/2053                                       | CUSIP: 3132DS4F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  274711535 | PA      | $261754375.47  | 0.25%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 02/01/2053                                       | CUSIP: 3132DS4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   82574580 | PA      | $78688446.84   | 0.08%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2053                                       | CUSIP: 3132DSAT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76261049 | PA      | $70676232.30   | 0.07%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2053                                       | CUSIP: 3132DTMF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   85452311 | PA      | $79194390.96   | 0.08%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2053                                       | CUSIP: 3132DUMA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  176199990 | PA      | $163296355.15  | 0.16%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 01/01/2054                                       | CUSIP: 3132DUNX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  912519459 | PA      | $893185735.67  | 0.86%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 12/01/2054                                       | CUSIP: 3132DVGH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23273911 | PA      | $22929431.58   | 0.02%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 12/01/2054                                       | CUSIP: 3132DVGK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39423652 | PA      | $38795373.14   | 0.04%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 02/01/2054                                       | CUSIP: 3132DVJ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   90689757 | PA      | $88715731.66   | 0.09%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 11/01/2050                                       | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  245605244 | PA      | $211906419.12  | 0.20%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 02/01/2051                                       | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  214085591 | PA      | $184688537.67  | 0.18%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 02/01/2052                                       | CUSIP: 3132DWC92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17535025 | PA      | $16287421.96   | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  650834009 | PA      | $603171554.06  | 0.58%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 06/01/2052                                       | CUSIP: 3132DWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  321288735 | PA      | $306623668.33  | 0.29%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3132DWD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  782707829 | PA      | $725387872.29  | 0.70%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 03/01/2052                                       | CUSIP: 3132DWDF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38750937 | PA      | $36054788.19   | 0.03%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.00 04/01/2052                                       | CUSIP: 3132DWDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6952055 | PA      | $6161283.29    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 04/01/2052                                       | CUSIP: 3132DWDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  168725189 | PA      | $156368956.06  | 0.15%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.00 05/01/2052                                       | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   83765379 | PA      | $74349418.02   | 0.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 1627695987 | PA      | $1508495105.48 | 1.45%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 10/01/2052                                       | CUSIP: 3132DWE41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  260009677 | PA      | $240968417.12  | 0.23%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 10/01/2052                                       | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 1291509621 | PA      | $1231972190.14 | 1.18%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                       | CUSIP: 3132DWEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  214151223 | PA      | $198468309.99  | 0.19%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 08/01/2052                                       | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  336441292 | PA      | $321084072.77  | 0.31%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 08/01/2052                                       | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43234785 | PA      | $42406076.77   | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 09/01/2052                                       | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  557823510 | PA      | $516972481.97  | 0.50%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 09/01/2052                                       | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  895555346 | PA      | $854676414.80  | 0.82%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 09/01/2052                                       | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  403310994 | PA      | $395580324.37  | 0.38%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 11/01/2052                                       | CUSIP: 3132DWFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  116187953 | PA      | $110831889.01  | 0.11%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 11/01/2052                                       | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  506776794 | PA      | $496644906.93  | 0.48%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 12/01/2052                                       | CUSIP: 3132DWFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  117626462 | PA      | $112150939.31  | 0.11%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 12/01/2052                                       | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  272629522 | PA      | $267178930.39  | 0.26%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 03/01/2053                                       | CUSIP: 3132DWGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41205133 | PA      | $40321676.00   | 0.04%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 10/01/2054                                       | CUSIP: 3132DWMQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61710301 | PA      | $60259376.66   | 0.06%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 11/01/2054                                       | CUSIP: 3132DWMW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  468138777 | PA      | $457131752.94  | 0.44%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 12/01/2054                                       | CUSIP: 3132DWNE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  598667657 | PA      | $584591501.89  | 0.56%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 01/01/2055                                       | CUSIP: 3132DWNF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   98812331 | PA      | $96489012.77   | 0.09%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 02/01/2055                                       | CUSIP: 3132DWNV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  309493202 | PA      | $302215998.85  | 0.29%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2041                                       | CUSIP: 3132GDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3129738 | PA      | $3151818.97    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2041                                       | CUSIP: 3132GDF80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1223643 | PA      | $1232527.48    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2041                                       | CUSIP: 3132GDMJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2853262 | PA      | $2858062.53    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2041                                       | CUSIP: 3132GFE78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2103661 | PA      | $2120445.06    | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 08/01/2041                                       | CUSIP: 3132GGA47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     387468 | PA      | $390122.02     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 01/01/2035                                       | CUSIP: 3132J4DJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48185308 | PA      | $47810692.42   | 0.05%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 12/01/2035                                       | CUSIP: 3132J4JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7023597 | PA      | $6860919.68    | 0.01%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2047                                       | CUSIP: 3132L8QJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9967412 | PA      | $9858460.88    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2047                                       | CUSIP: 3132L8RZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21303632 | PA      | $21059260.57   | 0.02%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 06/01/2035                                       | CUSIP: 3132LPAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3724751 | PA      | $3693337.40    | 0.00%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 10/01/2035                                       | CUSIP: 3132LPT25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1653671 | PA      | $1637225.04    | 0.00%             | 2035-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2044                                       | CUSIP: 3132M6D49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1751974 | PA      | $1752256.21    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 06/01/2047                                       | CUSIP: 3132WNJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18895992 | PA      | $18805607.95   | 0.02%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2047                                       | CUSIP: 3132WPRQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3477144 | PA      | $3457644.22    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2045                                       | CUSIP: 31335A4C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4135647 | PA      | $4167776.09    | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2045                                       | CUSIP: 31335A5Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1397226 | PA      | $1398602.03    | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2045                                       | CUSIP: 31335A6Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15927738 | PA      | $16054745.30   | 0.02%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 02/01/2045                                       | CUSIP: 31335ABB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2842170 | PA      | $2819505.18    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 11/01/2044                                       | CUSIP: 31335ACP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1282614 | PA      | $1282292.73    | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 10/01/2044                                       | CUSIP: 31335AE20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9845303 | PA      | $9852314.35    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 09/01/2044                                       | CUSIP: 31335AGF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9710942 | PA      | $9728510.02    | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2042                                       | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5270959 | PA      | $5313000.75    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2045                                       | CUSIP: 31335AM96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6889985 | PA      | $6891094.12    | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 11/01/2045                                       | CUSIP: 31335AQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2683900 | PA      | $2686819.19    | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2042                                       | CUSIP: 31335BAP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12039652 | PA      | $12134419.97   | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2046                                       | CUSIP: 31335BAV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11295857 | PA      | $11316283.17   | 0.01%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 09/01/2047                                       | CUSIP: 31335BJ64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19696001 | PA      | $19658609.42   | 0.02%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 10/01/2047                                       | CUSIP: 31335BJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14667252 | PA      | $14657538.50   | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 11/01/2047                                       | CUSIP: 31335BK96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7123917 | PA      | $6883210.07    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 11/01/2045                                       | CUSIP: 31335BLJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2734229 | PA      | $2619400.02    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 09/01/2047                                       | CUSIP: 31335BLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4447081 | PA      | $4304257.88    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 12/01/2046                                       | CUSIP: 31335BNE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14294509 | PA      | $13839878.96   | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 01/01/2046                                       | CUSIP: 31335BNF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16661467 | PA      | $16147170.47   | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 06/01/2050                                       | CUSIP: 3133A6K91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15508054 | PA      | $13357640.69   | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 06/01/2050                                       | CUSIP: 3133A6MB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23688094 | PA      | $20415956.58   | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 04/01/2052                                       | CUSIP: 3133B9Z49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   85459872 | PA      | $79457529.87   | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3133BA3Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18135021 | PA      | $16806940.58   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3133BB4W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46275824 | PA      | $42886911.63   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3133BBPQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15656282 | PA      | $14509727.06   | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3133BBTU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4895485 | PA      | $4536974.07    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3133BCWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28910288 | PA      | $26793104.51   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3133BED26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28344375 | PA      | $26268634.49   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3133BETX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19965743 | PA      | $18503593.96   | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3133BFK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33523978 | PA      | $31068920.64   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                       | CUSIP: 3133BJAS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15452607 | PA      | $14367201.54   | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 10/01/2052                                       | CUSIP: 3133BNCS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55541114 | PA      | $52957606.68   | 0.05%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 11/01/2052                                       | CUSIP: 3133BQWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51288073 | PA      | $48943153.99   | 0.05%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2050                                       | CUSIP: 3133KH4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40927640 | PA      | $35274313.19   | 0.03%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 06/01/2050                                       | CUSIP: 3133KH6P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29257703 | PA      | $24161756.08   | 0.02%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 09/01/2050                                       | CUSIP: 3133KJ2N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   90760426 | PA      | $74951997.61   | 0.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 09/01/2050                                       | CUSIP: 3133KJ3C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  183491211 | PA      | $151245929.53  | 0.15%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 06/01/2050                                       | CUSIP: 3133KJE81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  150045128 | PA      | $129353803.15  | 0.12%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 06/01/2050                                       | CUSIP: 3133KJF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52085954 | PA      | $44903274.71   | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 07/01/2050                                       | CUSIP: 3133KJJA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  109603230 | PA      | $90342726.82   | 0.09%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJJN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  100338497 | PA      | $86501775.31   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39291860 | PA      | $33873488.97   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58335556 | PA      | $50259343.59   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 07/01/2050                                       | CUSIP: 3133KJL75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21449717 | PA      | $17680477.90   | 0.02%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 07/01/2050                                       | CUSIP: 3133KJL91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14183635 | PA      | $11713374.57   | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22389171 | PA      | $19289687.47   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJNF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21524187 | PA      | $18560992.25   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 08/01/2050                                       | CUSIP: 3133KJRW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  129677603 | PA      | $111724696.25  | 0.11%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJRX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39295760 | PA      | $33885895.24   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 08/01/2050                                       | CUSIP: 3133KJSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   69529021 | PA      | $57310500.64   | 0.05%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 08/01/2050                                       | CUSIP: 3133KJSN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   70419548 | PA      | $58154046.89   | 0.06%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 09/01/2050                                       | CUSIP: 3133KJWP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  150941748 | PA      | $124416500.79  | 0.12%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 09/01/2050                                       | CUSIP: 3133KJZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  101847821 | PA      | $83949746.30   | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 10/01/2050                                       | CUSIP: 3133KKCJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  390514732 | PA      | $323404212.77  | 0.31%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 10/01/2050                                       | CUSIP: 3133KKD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20127608 | PA      | $16590490.45   | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 10/01/2050                                       | CUSIP: 3133KKEA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  111022037 | PA      | $91683911.12   | 0.09%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 12/01/2050                                       | CUSIP: 3133KKQQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  480001952 | PA      | $396281974.46  | 0.38%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 12/01/2050                                       | CUSIP: 3133KKSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  558905228 | PA      | $462279500.91  | 0.44%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 12/01/2050                                       | CUSIP: 3133KKVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   96239443 | PA      | $79431673.74   | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 02/01/2051                                       | CUSIP: 3133KLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8673313 | PA      | $7486412.81    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 11/01/2051                                       | CUSIP: 3133KNBE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39114933 | PA      | $33644213.41   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 12/01/2051                                       | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58600435 | PA      | $50197119.15   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.00 01/01/2052                                       | CUSIP: 3133KNK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  173148294 | PA      | $155199450.60  | 0.15%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 03/01/2052                                       | CUSIP: 3133KNX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15613761 | PA      | $13374698.40   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3133KPCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38143452 | PA      | $35593104.46   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3133KPD70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33798875 | PA      | $31323685.31   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3133KPFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11291123 | PA      | $10518394.35   | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3133KPK23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61188621 | PA      | $57097080.33   | 0.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3133KPK31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   97069539 | PA      | $90425858.08   | 0.09%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3133KPLN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48816350 | PA      | $45672895.35   | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                       | CUSIP: 3133KPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12143148 | PA      | $11331107.63   | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                       | CUSIP: 3133KPP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15379986 | PA      | $14327291.07   | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                       | CUSIP: 3133KPP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20962615 | PA      | $19490145.75   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 10/01/2041                                       | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20850834 | PA      | $18778894.47   | 0.02%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 01/01/2042                                       | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42903566 | PA      | $38533679.36   | 0.04%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2051                                       | CUSIP: 3133USKT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  167208188 | PA      | $142577142.66  | 0.14%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.368 05/01/2046                                           | CUSIP: 31347AJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11774661 | PA      | $12227765.15   | 0.01%             | 2046-05-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.396 04/01/2045                                           | CUSIP: 31347AKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     646108 | PA      | $673231.98     | 0.00%             | 2045-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.508 07/01/2046                                           | CUSIP: 31347AMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1168629 | PA      | $1212766.62    | 0.00%             | 2046-07-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.367 09/01/2046                                           | CUSIP: 31347ANA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2798110 | PA      | $2908935.29    | 0.00%             | 2046-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 02/01/2034                                            | CUSIP: 31349SMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     704689 | PA      | $726200.22     | 0.00%             | 2034-02-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.375 04/01/2035                                           | CUSIP: 31349TY62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61086 | PA      | $62621.86      | 0.00%             | 2035-04-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.962 11/01/2034                                           | CUSIP: 31349UFB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327087 | PA      | $337093.30     | 0.00%             | 2034-11-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 02/01/2035                                            | CUSIP: 31349ULK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171278 | PA      | $178547.93     | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 11/01/2040                                             | CUSIP: 31358S7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29275 | PA      | $30443.14      | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 02/01/2041                                             | CUSIP: 31359S6X3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43209 | PA      | $45959.05      | 0.00%             | 2041-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 07/01/2041                                             | CUSIP: 31359SR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     604473 | PA      | $634496.08     | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 06/01/2041                                             | CUSIP: 31359SX96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16224 | PA      | $16492.94      | 0.00%             | 2041-06-19      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 06/01/2041                                             | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99294 | PA      | $103214.06     | 0.00%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 10/01/2028                                             | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148687 | PA      | $150967.92     | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 09/01/2028                                             | CUSIP: 31359UZK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21355 | PA      | $21647.88      | 0.00%             | 2028-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2042                                             | CUSIP: 3136A4LE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2697217 | PA      | $2631955.53    | 0.00%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 05/01/2042                                             | CUSIP: 3136A6EY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4500373 | PA      | $4397897.18    | 0.00%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 11/01/2042                                             | CUSIP: 3136A9XM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227965 | PA      | $243293.32     | 0.00%             | 2042-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2042                                             | CUSIP: 3136AACB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12917925 | PA      | $12284416.82   | 0.01%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 12/01/2042                                             | CUSIP: 3136AAQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34439542 | PA      | $31834813.56   | 0.03%             | 2042-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2043                                             | CUSIP: 3136ACLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9809155 | PA      | $9295766.19    | 0.01%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 07/01/2043                                             | CUSIP: 3136AFBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10295427 | PA      | $9467604.61    | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2042                                             | CUSIP: 3136AGF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5233252 | PA      | $5223188.78    | 0.01%             | 2042-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.53867 09/25/2043                                          | CUSIP: 3136AGFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7528893 | PA      | $7470391.07    | 0.01%             | 2043-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2044                                             | CUSIP: 3136AKB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27328752 | PA      | $26375757.20   | 0.03%             | 2044-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 10/01/2044                                             | CUSIP: 3136ALGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37253227 | PA      | $34205328.42   | 0.03%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 11/01/2044                                             | CUSIP: 3136ALRD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47131949 | PA      | $43311287.08   | 0.04%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 12/01/2044                                             | CUSIP: 3136ALZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11561968 | PA      | $10686496.23   | 0.01%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2048                                             | CUSIP: 3136B1N75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3996329 | PA      | $3749527.36    | 0.00%             | 2048-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 08/01/2048                                             | CUSIP: 3136B2UG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4042080 | PA      | $3658143.66    | 0.00%             | 2048-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.87419 01/25/2055                                          | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  193325414 | PA      | $193973131.53  | 0.19%             | 2055-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.39728 08/25/2052                                          | CUSIP: 3136BX3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15313120 | PA      | $15266880.39   | 0.01%             | 2052-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.39728 09/25/2052                                          | CUSIP: 3136BX3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60915020 | PA      | $60729902.53   | 0.06%             | 2052-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.87419 09/25/2055                                          | CUSIP: 3136BXJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  163051770 | PA      | $163712406.35  | 0.16%             | 2055-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.39728 09/25/2052                                          | CUSIP: 3136BXN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83943796 | PA      | $83385494.48   | 0.08%             | 2052-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.39728 09/25/2052                                          | CUSIP: 3136BXP32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  163069726 | PA      | $161985165.60  | 0.16%             | 2052-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.87419 10/25/2055                                          | CUSIP: 3136BXUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40947271 | PA      | $41116534.43   | 0.04%             | 2055-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.77419 10/25/2055                                          | CUSIP: 3136BXWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31000782 | PA      | $31122382.51   | 0.03%             | 2055-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.59728 10/25/2055                                          | CUSIP: 3136BXXR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49100648 | PA      | $49297826.49   | 0.05%             | 2055-10-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.77419 10/25/2055                                          | CUSIP: 3136BXYL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77722405 | PA      | $78066645.71   | 0.07%             | 2055-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.586 06/01/2035                                            | CUSIP: 31371MDD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116416 | PA      | $120019.66     | 0.00%             | 2035-06-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.425 07/01/2035                                            | CUSIP: 31371MET0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234974 | PA      | $241967.03     | 0.00%             | 2035-07-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 11/01/2037                                             | CUSIP: 31371NNA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     853751 | PA      | $915559.52     | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 02/01/2038                                             | CUSIP: 31374CL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504804 | PA      | $537855.31     | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2036                                             | CUSIP: 31374CNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3264742 | PA      | $3292898.40    | 0.00%             | 2036-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 11/01/2028                                             | CUSIP: 31374TE39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147472 | PA      | $151296.15     | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 12/01/2028                                             | CUSIP: 31374TGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107508 | PA      | $110295.26     | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.00 04/01/2043                                            | CUSIP: 3137B1TU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9604230 | PA      | $9407539.70    | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 06/01/2043                                            | CUSIP: 3137B34X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26661427 | PA      | $25317488.78   | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.50 12/01/2043                                            | CUSIP: 3137B6GK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15749562 | PA      | $15756671.48   | 0.02%             | 2043-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.50 12/01/2043                                            | CUSIP: 3137B6GQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9667049 | PA      | $9733615.75    | 0.01%             | 2043-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.50 12/01/2043                                            | CUSIP: 3137B6MM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26544923 | PA      | $26771260.86   | 0.03%             | 2043-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 01/01/2044                                            | CUSIP: 3137B77K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12063816 | PA      | $11147864.83   | 0.01%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.50 03/01/2044                                            | CUSIP: 3137B8LR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5352134 | PA      | $5397750.01    | 0.01%             | 2044-03-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 06/01/2044                                            | CUSIP: 3137BBPC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18125837 | PA      | $16753176.52   | 0.02%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 08/01/2044                                            | CUSIP: 3137BCVJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17109731 | PA      | $16224189.93   | 0.02%             | 2044-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 09/01/2044                                            | CUSIP: 3137BDSC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38442190 | PA      | $34163285.83   | 0.03%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 12/01/2044                                            | CUSIP: 3137BFJK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10614100 | PA      | $9776432.87    | 0.01%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 02/01/2045                                            | CUSIP: 3137BGEM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37628454 | PA      | $33628138.98   | 0.03%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 02/01/2045                                            | CUSIP: 3137BGLN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5852730 | PA      | $5437625.64    | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.949052 01/01/2031                                        | CUSIP: 3137BPVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  112895907 | PA      | $4077190.54    | 0.00%             | 2031-01-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.334525 03/01/2026                                        | CUSIP: 3137BPW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   92410688 | PA      | $100829.30     | 0.00%             | 2026-03-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.207806 05/01/2026                                        | CUSIP: 3137BQYV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28692254 | PA      | $56294.20      | 0.00%             | 2026-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.50 09/01/2046                                            | CUSIP: 3137BS4N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21200784 | PA      | $18580854.70   | 0.02%             | 2046-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 12/01/2046                                            | CUSIP: 3137BTL74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26394485 | PA      | $23960401.66   | 0.02%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.269911 12/01/2026                                        | CUSIP: 3137BUX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  277566739 | PA      | $711930.93     | 0.00%             | 2026-12-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 02/01/2047                                            | CUSIP: 3137BUXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19087306 | PA      | $17527703.64   | 0.02%             | 2047-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.585131 03/01/2027                                        | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  350401392 | PA      | $1899736.18    | 0.00%             | 2027-03-25      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 03/01/2047                                            | CUSIP: 3137BY6K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14471260 | PA      | $13441491.10   | 0.01%             | 2047-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.649496 04/01/2027                                        | CUSIP: 3137F1G69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  423889484 | PA      | $3071164.09    | 0.00%             | 2027-04-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 07/01/2047                                            | CUSIP: 3137F1SB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2674025 | PA      | $2473416.82    | 0.00%             | 2047-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.726141 06/01/2027                                        | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  339755384 | PA      | $2643602.67    | 0.00%             | 2027-06-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 09/01/2047                                            | CUSIP: 3137FAW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10133360 | PA      | $9469673.47    | 0.01%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.561336 07/01/2027                                        | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  435931550 | PA      | $3013246.06    | 0.00%             | 2027-07-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.339883 09/01/2027                                        | CUSIP: 3137FBU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   86513489 | PA      | $438052.40     | 0.00%             | 2027-09-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.316076 11/01/2027                                        | CUSIP: 3137FCJM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  183283791 | PA      | $939586.02     | 0.00%             | 2027-11-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.276006 11/01/2027                                        | CUSIP: 3137FCLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  236262175 | PA      | $1009028.50    | 0.00%             | 2027-11-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.285582 11/01/2032                                        | CUSIP: 3137FDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  344415816 | PA      | $4909991.88    | 0.00%             | 2032-11-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.00 08/01/2048                                            | CUSIP: 3137FGY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9862631 | PA      | $9342754.43    | 0.01%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.537826 01/01/2029                                        | CUSIP: 3137FL6R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  493678195 | PA      | $7168701.07    | 0.01%             | 2029-01-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.558363 03/01/2029                                        | CUSIP: 3137FLNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  246213127 | PA      | $4062418.10    | 0.00%             | 2029-03-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.772864 03/01/2034                                        | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  168251545 | PA      | $7541454.87    | 0.01%             | 2034-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.707097 04/01/2029                                        | CUSIP: 3137FLYX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  464200105 | PA      | $9214372.08    | 0.01%             | 2029-04-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.937396 05/01/2029                                        | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  209719837 | PA      | $5560364.95    | 0.01%             | 2029-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.872416 06/01/2029                                        | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  307773922 | PA      | $8227566.37    | 0.01%             | 2029-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.938055 06/01/2029                                        | CUSIP: 3137FNAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  211024426 | PA      | $5830625.98    | 0.01%             | 2029-06-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.111199 07/01/2029                                        | CUSIP: 3137FNBA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  510355122 | PA      | $16660542.96   | 0.02%             | 2029-07-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.082181 07/01/2029                                        | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  232805754 | PA      | $7853003.68    | 0.01%             | 2029-07-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.135044 08/01/2029                                        | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  452303945 | PA      | $15853931.74   | 0.02%             | 2029-08-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.873671 09/01/2029                                        | CUSIP: 3137FPJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  488486997 | PA      | $13322554.73   | 0.01%             | 2029-09-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.826688 10/01/2029                                        | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  188814345 | PA      | $5139262.12    | 0.00%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.816435 10/01/2029                                        | CUSIP: 3137FQKE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  529591523 | PA      | $13927886.35   | 0.01%             | 2029-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 10/01/2050                                            | CUSIP: 3137FWXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11741263 | PA      | $10342504.38   | 0.01%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.77419 10/25/2055                                         | CUSIP: 3137HNBB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  122071286 | PA      | $122579517.47  | 0.12%             | 2055-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.72419 11/25/2055                                         | CUSIP: 3137HNSJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  101688680 | PA      | $100575250.03  | 0.10%             | 2055-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.61721 11/25/2055                                         | CUSIP: 3137HNU63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35208186 | PA      | $35399345.42   | 0.03%             | 2055-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.61721 11/25/2055                                         | CUSIP: 3137HNVA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15234224 | PA      | $15294282.37   | 0.01%             | 2055-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 04/01/2032                                             | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68013 | PA      | $71421.80      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 07/01/2032                                             | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4796 | PA      | $5036.67       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 03/01/2033                                             | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1172830 | PA      | $1216761.02    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 05/01/2033                                             | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6407826 | PA      | $6576523.27    | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 11/01/2033                                             | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314790 | PA      | $323380.32     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2041                                             | CUSIP: 3138A3TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3183275 | PA      | $3117210.80    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2041                                             | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24172297 | PA      | $24334217.63   | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.459 01/01/2036                                            | CUSIP: 3138AFT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1435854 | PA      | $1491170.31    | 0.00%             | 2036-01-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2041                                             | CUSIP: 3138ANCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3513826 | PA      | $3437623.10    | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2041                                             | CUSIP: 3138AXAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     958591 | PA      | $963733.47     | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2041                                             | CUSIP: 3138E0QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236317 | PA      | $237341.61     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.713 04/01/2042                                            | CUSIP: 3138EEZP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1105704 | PA      | $1155468.70    | 0.00%             | 2042-04-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.10 11/01/2037                                             | CUSIP: 3138EGES9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183978 | PA      | $188132.12     | 0.00%             | 2037-11-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.283 10/01/2038                                            | CUSIP: 3138EHER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     648554 | PA      | $671702.58     | 0.00%             | 2038-10-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.314 06/01/2039                                            | CUSIP: 3138EJBP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73300 | PA      | $75877.03      | 0.00%             | 2039-06-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 02/01/2039                                             | CUSIP: 3138EJBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561771 | PA      | $599686.08     | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 11/01/2038                                             | CUSIP: 3138EKA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206606 | PA      | $222094.18     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 09/01/2038                                             | CUSIP: 3138EKES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1733750 | PA      | $1833640.06    | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.447 08/01/2037                                            | CUSIP: 3138EKL86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17948 | PA      | $18579.09      | 0.00%             | 2037-08-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.389 02/01/2043                                            | CUSIP: 3138EKPR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     611588 | PA      | $635894.54     | 0.00%             | 2043-02-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2043                                             | CUSIP: 3138ELFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3281190 | PA      | $3299801.70    | 0.00%             | 2043-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.22 09/01/2043                                             | CUSIP: 3138ELRU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174378 | PA      | $179381.84     | 0.00%             | 2043-09-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.60 02/01/2043                                             | CUSIP: 3138ELRV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292314 | PA      | $304077.45     | 0.00%             | 2043-02-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.151 11/01/2042                                            | CUSIP: 3138ELSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     623768 | PA      | $649494.02     | 0.00%             | 2042-11-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2052                                             | CUSIP: 3138ELTG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2209876 | PA      | $2174363.82    | 0.00%             | 2052-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2031                                             | CUSIP: 3138ELTS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16579553 | PA      | $16662465.41   | 0.02%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2031                                             | CUSIP: 3138ELX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324349 | PA      | $324949.51     | 0.00%             | 2031-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.211 11/01/2043                                            | CUSIP: 3138ELZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1535826 | PA      | $1594992.81    | 0.00%             | 2043-11-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.397 05/01/2044                                            | CUSIP: 3138EM2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3010158 | PA      | $3124048.01    | 0.00%             | 2044-05-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.542 05/01/2044                                            | CUSIP: 3138EM2P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     825959 | PA      | $858576.76     | 0.00%             | 2044-05-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 07/01/2037                                             | CUSIP: 3138EM6D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1953532 | PA      | $1980071.36    | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2032                                             | CUSIP: 3138EMBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     818880 | PA      | $823234.54     | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2034                                             | CUSIP: 3138EMCP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2028856 | PA      | $2042383.42    | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.09 11/01/2043                                             | CUSIP: 3138EMD24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1614549 | PA      | $1680808.34    | 0.00%             | 2043-11-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.495 04/01/2044                                            | CUSIP: 3138EMUN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1920350 | PA      | $1996656.50    | 0.00%             | 2044-04-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.521 04/01/2044                                            | CUSIP: 3138EMWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690021 | PA      | $718182.88     | 0.00%             | 2044-04-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.458 04/01/2044                                            | CUSIP: 3138EN3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2719272 | PA      | $2846787.05    | 0.00%             | 2044-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2044                                             | CUSIP: 3138EN7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3108799 | PA      | $3103079.03    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2041                                             | CUSIP: 3138ENBJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3537193 | PA      | $3567753.52    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2041                                             | CUSIP: 3138ENBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11028909 | PA      | $11021081.61   | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.223 07/01/2044                                            | CUSIP: 3138ENCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132557 | PA      | $135655.63     | 0.00%             | 2044-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.303 07/01/2044                                            | CUSIP: 3138END71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1027408 | PA      | $1069194.90    | 0.00%             | 2044-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.238 07/01/2044                                            | CUSIP: 3138ENDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1098153 | PA      | $1140678.93    | 0.00%             | 2044-07-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.497 05/01/2038                                            | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17716668 | PA      | $18445890.33   | 0.02%             | 2038-05-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.223 08/01/2044                                            | CUSIP: 3138ENFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1115827 | PA      | $1159932.12    | 0.00%             | 2044-08-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.305 08/01/2044                                            | CUSIP: 3138ENH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2273520 | PA      | $2365478.09    | 0.00%             | 2044-08-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.36 09/01/2044                                             | CUSIP: 3138ENJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     920848 | PA      | $961155.54     | 0.00%             | 2044-09-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2044                                             | CUSIP: 3138ENM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1660289 | PA      | $1663388.53    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.314 10/01/2044                                            | CUSIP: 3138ENNH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1092646 | PA      | $1136885.08    | 0.00%             | 2044-10-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.07 10/01/2044                                             | CUSIP: 3138ENNJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268078 | PA      | $276765.87     | 0.00%             | 2044-10-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2034                                             | CUSIP: 3138ENQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17998266 | PA      | $17798299.59   | 0.02%             | 2034-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.341 09/01/2044                                            | CUSIP: 3138ENQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2337097 | PA      | $2437330.28    | 0.00%             | 2044-09-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2031                                             | CUSIP: 3138ENQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1327847 | PA      | $1332092.39    | 0.00%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2030                                             | CUSIP: 3138ENQQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10839973 | PA      | $10868724.04   | 0.01%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2041                                             | CUSIP: 3138ENQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34727283 | PA      | $35036738.10   | 0.03%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.16 10/01/2044                                             | CUSIP: 3138ENT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000673 | PA      | $1040809.94    | 0.00%             | 2044-10-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2032                                             | CUSIP: 3138ENTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8090481 | PA      | $8054454.84    | 0.01%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.298 10/01/2044                                            | CUSIP: 3138ENTW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2418396 | PA      | $2517638.44    | 0.00%             | 2044-10-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.306 10/01/2044                                            | CUSIP: 3138ENUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1091714 | PA      | $1135654.81    | 0.00%             | 2044-10-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.175 11/01/2044                                            | CUSIP: 3138ENVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     984324 | PA      | $1024297.50    | 0.00%             | 2044-11-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.062 11/01/2044                                            | CUSIP: 3138ENVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1865112 | PA      | $1939016.93    | 0.00%             | 2044-11-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2033                                             | CUSIP: 3138ENWB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2168693 | PA      | $2160499.79    | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.059 11/01/2044                                            | CUSIP: 3138ENX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2802239 | PA      | $2912984.29    | 0.00%             | 2044-11-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2029                                             | CUSIP: 3138ENY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54303 | PA      | $54354.38      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.996 12/01/2044                                            | CUSIP: 3138ENYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2088004 | PA      | $2169175.10    | 0.00%             | 2044-12-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2032                                             | CUSIP: 3138ENZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8634754 | PA      | $8595406.49    | 0.01%             | 2032-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2034                                             | CUSIP: 3138ENZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8692705 | PA      | $8600111.86    | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.304 08/01/2045                                            | CUSIP: 3138EP4H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559265 | PA      | $581208.67     | 0.00%             | 2045-08-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.299 08/01/2045                                            | CUSIP: 3138EP4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     774958 | PA      | $809625.76     | 0.00%             | 2045-08-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2045                                             | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22461394 | PA      | $22426133.53   | 0.02%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.246 02/01/2045                                            | CUSIP: 3138EPBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1145566 | PA      | $1189990.77    | 0.00%             | 2045-02-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.403 01/01/2045                                            | CUSIP: 3138EPCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1085364 | PA      | $1126980.97    | 0.00%             | 2045-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.36 10/01/2043                                             | CUSIP: 3138EPMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2736509 | PA      | $2858410.33    | 0.00%             | 2043-10-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2034                                             | CUSIP: 3138EPQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2129078 | PA      | $2105416.63    | 0.00%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2044                                             | CUSIP: 3138EPUL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7074686 | PA      | $7067498.36    | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2035                                             | CUSIP: 3138EPV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16545197 | PA      | $16345533.61   | 0.02%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2045                                             | CUSIP: 3138EPZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7949094 | PA      | $7954113.92    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2035                                             | CUSIP: 3138EPZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2709884 | PA      | $2675453.65    | 0.00%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2029                                             | CUSIP: 3138EQAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3872172 | PA      | $3846287.88    | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2045                                             | CUSIP: 3138EQF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25804048 | PA      | $25926646.46   | 0.02%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2046                                             | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1791364 | PA      | $1797184.25    | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2037                                             | CUSIP: 3138ER5A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25737510 | PA      | $25323700.54   | 0.02%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.204 03/01/2045                                            | CUSIP: 3138ERDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14008432 | PA      | $14570147.44   | 0.01%             | 2045-03-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2046                                             | CUSIP: 3138EREA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16816815 | PA      | $16934515.10   | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.523 07/01/2046                                            | CUSIP: 3138ERGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84322 | PA      | $86918.32      | 0.00%             | 2046-07-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2042                                             | CUSIP: 3138ERNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11333603 | PA      | $11320895.71   | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2044                                             | CUSIP: 3138ERUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14442704 | PA      | $14537893.06   | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2045                                             | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $107.07        | 0.00%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.239 10/01/2045                                            | CUSIP: 3138ETBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1913584 | PA      | $1990095.07    | 0.00%             | 2045-10-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.373 04/01/2046                                            | CUSIP: 3138ETF76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3871650 | PA      | $4023357.73    | 0.00%             | 2046-04-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.292 11/01/2045                                            | CUSIP: 3138ETFJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1672447 | PA      | $1740174.23    | 0.00%             | 2045-11-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.603 04/01/2046                                            | CUSIP: 3138ETGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1139128 | PA      | $1183174.21    | 0.00%             | 2046-04-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.58 04/01/2046                                             | CUSIP: 3138ETHF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114406 | PA      | $117970.02     | 0.00%             | 2046-04-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2045                                             | CUSIP: 3138ETHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8240610 | PA      | $8239020.20    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2044                                             | CUSIP: 3138ETLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2941130 | PA      | $2919972.42    | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.468 05/01/2046                                            | CUSIP: 3138ETM86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525174 | PA      | $545825.76     | 0.00%             | 2046-05-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.431 04/01/2045                                            | CUSIP: 3138ETNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4116586 | PA      | $4275497.20    | 0.00%             | 2045-04-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2036                                             | CUSIP: 3138ETSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2198480 | PA      | $2167773.17    | 0.00%             | 2036-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2042                                             | CUSIP: 3138ETT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5165376 | PA      | $5199419.33    | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.471 06/01/2046                                            | CUSIP: 3138ETTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227955 | PA      | $236811.22     | 0.00%             | 2046-06-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2034                                             | CUSIP: 3138ETY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13321851 | PA      | $13266745.03   | 0.01%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.42 09/01/2042                                             | CUSIP: 3138M9Z53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207324 | PA      | $214106.77     | 0.00%             | 2042-09-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.989 12/01/2042                                            | CUSIP: 3138MFRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1123947 | PA      | $1169316.60    | 0.00%             | 2042-12-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2034                                             | CUSIP: 3138WAYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1560866 | PA      | $1549356.48    | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2029                                             | CUSIP: 3138WBB20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1677748 | PA      | $1666015.50    | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2044                                             | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5954163 | PA      | $5948112.25    | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2034                                             | CUSIP: 3138WDK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505299 | PA      | $500689.02     | 0.00%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2044                                             | CUSIP: 3138WDRV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5665291 | PA      | $5654867.47    | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2045                                             | CUSIP: 3138WFP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13978269 | PA      | $13530786.17   | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2045                                             | CUSIP: 3138WFP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14540688 | PA      | $14072185.10   | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2035                                             | CUSIP: 3138WGCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1848309 | PA      | $1826502.00    | 0.00%             | 2035-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 01/01/2036                                             | CUSIP: 3138WGGU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1520173 | PA      | $1480488.26    | 0.00%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2036                                             | CUSIP: 3138WGZF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1775655 | PA      | $1733199.71    | 0.00%             | 2036-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2047                                             | CUSIP: 3138WJ6V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26566815 | PA      | $26419404.95   | 0.03%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2047                                             | CUSIP: 3138WJU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7423971 | PA      | $7398075.74    | 0.01%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2047                                             | CUSIP: 3138WJY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19634909 | PA      | $19574513.34   | 0.02%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2047                                             | CUSIP: 3138WLC27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     615061 | PA      | $610693.51     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.31 09/01/2043                                             | CUSIP: 3138WNH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     732293 | PA      | $761929.34     | 0.00%             | 2043-09-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.31 09/01/2043                                             | CUSIP: 3138WNJA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112911 | PA      | $116916.19     | 0.00%             | 2043-09-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.31 05/01/2043                                             | CUSIP: 3138WTP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188699 | PA      | $196386.49     | 0.00%             | 2043-05-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.33 09/01/2044                                             | CUSIP: 3138WUZE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272343 | PA      | $282927.55     | 0.00%             | 2044-09-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.22 06/01/2043                                             | CUSIP: 3138WXXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179321 | PA      | $185017.95     | 0.00%             | 2043-06-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 09/01/2028                                             | CUSIP: 3138X6ND3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2233105 | PA      | $2219997.21    | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.988 12/01/2043                                            | CUSIP: 3138X8TB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402889 | PA      | $418060.51     | 0.00%             | 2043-12-01      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.439 02/01/2044                                            | CUSIP: 3138XDS27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     867921 | PA      | $905300.90     | 0.00%             | 2044-02-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.562 02/01/2044                                            | CUSIP: 3138XEZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693791 | PA      | $722755.85     | 0.00%             | 2044-02-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.526 04/01/2044                                            | CUSIP: 3138XQEU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393306 | PA      | $406884.36     | 0.00%             | 2044-04-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.233 07/01/2044                                            | CUSIP: 3138XRP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1016655 | PA      | $1057199.54    | 0.00%             | 2044-07-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.34 07/01/2044                                             | CUSIP: 3138XRQC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234389 | PA      | $242322.20     | 0.00%             | 2044-07-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.34 09/01/2044                                             | CUSIP: 3138XRQV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149717 | PA      | $154898.42     | 0.00%             | 2044-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.59 04/01/2044                                             | CUSIP: 3138XTSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     919015 | PA      | $956051.10     | 0.00%             | 2044-04-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.298 08/01/2044                                            | CUSIP: 3138XVBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     943965 | PA      | $981989.73     | 0.00%             | 2044-08-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.33 09/01/2044                                             | CUSIP: 3138XXHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517658 | PA      | $536784.74     | 0.00%             | 2044-09-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.33 09/01/2044                                             | CUSIP: 3138XXHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     795081 | PA      | $828578.45     | 0.00%             | 2044-09-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.199 10/01/2044                                            | CUSIP: 3138XYRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2578963 | PA      | $2684215.98    | 0.00%             | 2044-10-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.215 07/01/2044                                            | CUSIP: 3138XYUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1192444 | PA      | $1240154.72    | 0.00%             | 2044-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.33 11/01/2044                                             | CUSIP: 3138Y22P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161008 | PA      | $166672.40     | 0.00%             | 2044-11-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.33 08/01/2044                                             | CUSIP: 3138Y2M34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776926 | PA      | $810408.70     | 0.00%             | 2044-08-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.08 10/01/2044                                             | CUSIP: 3138Y3LY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176456 | PA      | $182033.00     | 0.00%             | 2044-10-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.455 12/01/2044                                            | CUSIP: 3138Y3YX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162370 | PA      | $168550.00     | 0.00%             | 2044-12-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.269 10/01/2044                                            | CUSIP: 3138Y4ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     840846 | PA      | $875359.13     | 0.00%             | 2044-10-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.965 11/01/2044                                            | CUSIP: 3138Y4SY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190389 | PA      | $197541.05     | 0.00%             | 2044-11-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.42 12/01/2044                                             | CUSIP: 3138Y4TC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301068 | PA      | $312616.47     | 0.00%             | 2044-12-01      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 05/01/2032                                             | CUSIP: 3138Y5D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136378 | PA      | $1132351.20    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.965 12/01/2044                                            | CUSIP: 3138Y5V86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133238 | PA      | $137664.57     | 0.00%             | 2044-12-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.465 12/01/2044                                            | CUSIP: 3138Y7F56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     516970 | PA      | $535591.09     | 0.00%             | 2044-12-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.465 03/01/2045                                            | CUSIP: 3138Y7GG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595838 | PA      | $616606.71     | 0.00%             | 2045-03-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.61 04/01/2046                                             | CUSIP: 3138Y7JJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395186 | PA      | $407603.08     | 0.00%             | 2046-04-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.61 04/01/2046                                             | CUSIP: 3138Y7JN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40286 | PA      | $41637.06      | 0.00%             | 2046-04-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.35 10/01/2044                                             | CUSIP: 3138Y7MW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     950383 | PA      | $991535.08     | 0.00%             | 2044-10-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.339 10/01/2044                                            | CUSIP: 3138Y7MY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     888910 | PA      | $928204.56     | 0.00%             | 2044-10-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.287 10/01/2044                                            | CUSIP: 3138Y7P30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1804142 | PA      | $1879860.81    | 0.00%             | 2044-10-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.10 11/01/2044                                             | CUSIP: 3138Y7P48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720071 | PA      | $752783.34     | 0.00%             | 2044-11-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.07 10/01/2044                                             | CUSIP: 3138Y7V82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99837 | PA      | $103403.80     | 0.00%             | 2044-10-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2045                                             | CUSIP: 3138Y9NZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8703315 | PA      | $8430091.00    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.184 12/01/2044                                            | CUSIP: 3138YDC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     985349 | PA      | $1024039.26    | 0.00%             | 2044-12-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.572 04/01/2045                                            | CUSIP: 3138YDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477268 | PA      | $496211.82     | 0.00%             | 2045-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2045                                             | CUSIP: 3138YWJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3659802 | PA      | $3540364.81    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 02/01/2033                                             | CUSIP: 31391U3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1020466 | PA      | $1058683.42    | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 12/01/2041                                             | CUSIP: 3139216A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     514406 | PA      | $529628.26     | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 12/01/2031                                             | CUSIP: 31392A4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282818 | PA      | $292952.15     | 0.00%             | 2031-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 03/01/2045                                             | CUSIP: 31392BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103107 | PA      | $106772.62     | 0.00%             | 2045-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 06/01/2042                                             | CUSIP: 31392DF49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     686124 | PA      | $687878.40     | 0.00%             | 2042-06-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 06/01/2032                                             | CUSIP: 31392DGS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     655689 | PA      | $666075.66     | 0.00%             | 2032-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 06/01/2042                                             | CUSIP: 31392DP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500909 | PA      | $526964.84     | 0.00%             | 2042-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 10/01/2032                                             | CUSIP: 31392EH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45110 | PA      | $46348.52      | 0.00%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 07/01/2042                                             | CUSIP: 31392FDD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1389967 | PA      | $1507754.08    | 0.00%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 06/01/2042                                             | CUSIP: 31392GEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1528371 | PA      | $1550655.08    | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.06312 12/01/2042                                          | CUSIP: 31392GWB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     930278 | PA      | $917223.05     | 0.00%             | 2042-12-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2042                                             | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1342008 | PA      | $1368430.15    | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 07/01/2042                                             | CUSIP: 31392JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2832412 | PA      | $2977464.60    | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.59598 07/01/2032                                         | CUSIP: 31392MEM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81234 | PA      | $76729.02      | 0.00%             | 2032-07-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 06/01/2032                                            | CUSIP: 31392PBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23667 | PA      | $24870.30      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.31575 07/01/2033                                         | CUSIP: 31392UZ56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1050146 | PA      | $1019580.10    | 0.00%             | 2033-07-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 09/01/2043                                            | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33801 | PA      | $35086.79      | 0.00%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.4712 10/01/2042                                           | CUSIP: 31393AP92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     687000 | PA      | $698916.32     | 0.00%             | 2042-10-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.50 03/01/2033                                            | CUSIP: 31393NDK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     789806 | PA      | $815400.55     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.00 05/01/2033                                            | CUSIP: 31393QXQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369090 | PA      | $361960.29     | 0.00%             | 2033-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 01/01/2044                                             | CUSIP: 31393XFT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     377510 | PA      | $389774.42     | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 02/01/2044                                             | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36835 | PA      | $38261.30      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 03/01/2044                                             | CUSIP: 31393XGU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     504352 | PA      | $524367.86     | 0.00%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 06/01/2044                                             | CUSIP: 31394ALN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     399984 | PA      | $411404.05     | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.38867 07/25/2044                                          | CUSIP: 31394BT46<br>LEI: 54930075XM5QLYOTLR22 | Long             | ABS-MBS          | USGSE             | US        |     554040 | PA      | $537307.77     | 0.00%             | 2044-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 08/01/2044                                             | CUSIP: 31394BZ72<br>LEI: 549300KIT83OL5QXFU28 | Long             | ABS-MBS          | USGSE             | US        |     176631 | PA      | $184791.07     | 0.00%             | 2044-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 10/01/2044                                             | CUSIP: 31394CB50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1959155 | PA      | $2002188.22    | 0.00%             | 2044-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.50 11/01/2033                                            | CUSIP: 31394MC57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2927154 | PA      | $3057963.95    | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 10/01/2043                                            | CUSIP: 31394PPQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2249413 | PA      | $2319921.96    | 0.00%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2045                                             | CUSIP: 31395B5G4<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |      74914 | PA      | $77095.21      | 0.00%             | 2045-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 12/01/2045                                             | CUSIP: 31395B5H2<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |     452226 | PA      | $469498.83     | 0.00%             | 2045-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 12/01/2045                                             | CUSIP: 31395B5J8<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |       6671 | PA      | $6901.27       | 0.00%             | 2045-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 8.00 12/01/2045                                             | CUSIP: 31395B5K5<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |     382505 | PA      | $396472.39     | 0.00%             | 2045-12-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 05/01/2037                                             | CUSIP: 31396VM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518068 | PA      | $532449.87     | 0.00%             | 2037-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.93782 08/01/2047                                          | CUSIP: 31396XD27<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |    1628496 | PA      | $1676571.67    | 0.00%             | 2047-08-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.13516 08/01/2047                                          | CUSIP: 31396XD35<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     478613 | PA      | $495590.99     | 0.00%             | 2047-08-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.00 08/01/2034                                            | CUSIP: 31397AL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1448265 | PA      | $1488683.93    | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 06/01/2032                                            | CUSIP: 31397HAC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     523020 | PA      | $548086.93     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.50 06/01/2037                                            | CUSIP: 31397JFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252570 | PA      | $263047.18     | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 03/01/2037                                             | CUSIP: 31397LCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202055 | PA      | $213309.77     | 0.00%             | 2037-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 05/01/2039                                             | CUSIP: 31397NWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1757735 | PA      | $1880310.32    | 0.00%             | 2039-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 06/01/2039                                             | CUSIP: 31397NZ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     936989 | PA      | $990770.21     | 0.00%             | 2039-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.00 03/01/2038                                            | CUSIP: 31397RYP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     701062 | PA      | $723052.11     | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2041                                             | CUSIP: 31397UZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2078734 | PA      | $2050042.71    | 0.00%             | 2041-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 11/01/2040                                             | CUSIP: 31398N2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6572244 | PA      | $6929384.83    | 0.01%             | 2040-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 01/01/2034                                             | CUSIP: 31402C3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120343 | PA      | $124899.71     | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 02/01/2034                                             | CUSIP: 31402CU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429170 | PA      | $440760.65     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 03/01/2034                                             | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4925793 | PA      | $5123563.14    | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 03/01/2034                                             | CUSIP: 31402CY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6542656 | PA      | $6793518.70    | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.238 10/01/2033                                            | CUSIP: 31402DF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183952 | PA      | $189158.28     | 0.00%             | 2033-10-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.892 08/01/2034                                            | CUSIP: 31402DHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324730 | PA      | $329976.26     | 0.00%             | 2034-08-01      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2032                                             | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2594110 | PA      | $2724724.40    | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.094 07/01/2035                                            | CUSIP: 31402RKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123914 | PA      | $126547.43     | 0.00%             | 2035-07-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 06/01/2033                                             | CUSIP: 31402RQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9498 | PA      | $9854.24       | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.509 08/01/2035                                            | CUSIP: 31402RQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236584 | PA      | $244278.32     | 0.00%             | 2035-08-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.278 10/01/2035                                            | CUSIP: 31402RTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307962 | PA      | $316931.40     | 0.00%             | 2035-10-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.395 01/01/2036                                            | CUSIP: 31403DAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534165 | PA      | $552235.45     | 0.00%             | 2036-01-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 06/01/2035                                             | CUSIP: 31403DDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     669918 | PA      | $694404.45     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 04/01/2034                                             | CUSIP: 31403DWB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     901837 | PA      | $935802.27     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.124 09/01/2034                                            | CUSIP: 31404NLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216033 | PA      | $221783.55     | 0.00%             | 2034-09-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.89 10/01/2034                                             | CUSIP: 31405PLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228746 | PA      | $237358.60     | 0.00%             | 2034-10-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.446 01/01/2035                                            | CUSIP: 31406DGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186616 | PA      | $192680.85     | 0.00%             | 2035-01-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.235 04/01/2035                                            | CUSIP: 31406M5J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274050 | PA      | $279576.14     | 0.00%             | 2035-04-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.498 10/01/2035                                            | CUSIP: 31406WKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153033 | PA      | $158055.75     | 0.00%             | 2035-10-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.136 07/01/2035                                            | CUSIP: 31407BVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48009 | PA      | $49156.01      | 0.00%             | 2035-07-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.358 07/01/2035                                            | CUSIP: 31407BWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54701 | PA      | $55872.37      | 0.00%             | 2035-07-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 04/01/2036                                             | CUSIP: 31407HUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89318 | PA      | $93205.69      | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.125 08/01/2035                                            | CUSIP: 31407JTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396693 | PA      | $406553.11     | 0.00%             | 2035-08-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.042 08/01/2035                                            | CUSIP: 31407JZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200574 | PA      | $204482.54     | 0.00%             | 2035-08-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2035                                             | CUSIP: 31407K5T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86058 | PA      | $89218.38      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2035                                             | CUSIP: 31407KQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91488 | PA      | $95080.32      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 08/01/2035                                             | CUSIP: 31407NQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133382 | PA      | $138525.66     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.517 09/01/2035                                            | CUSIP: 31407RR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65623 | PA      | $67593.49      | 0.00%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.324 01/01/2036                                            | CUSIP: 31408AMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308306 | PA      | $317013.49     | 0.00%             | 2036-01-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 04/01/2036                                             | CUSIP: 31409EFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86898 | PA      | $91634.17      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.189 11/01/2035                                            | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255186 | PA      | $264528.50     | 0.00%             | 2035-11-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.135 12/01/2046                                            | CUSIP: 3140FGNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     968526 | PA      | $1003699.20    | 0.00%             | 2046-12-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 07/01/2040                                             | CUSIP: 3140FXAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3190934 | PA      | $3231437.97    | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2056                                             | CUSIP: 3140FXDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22258995 | PA      | $20831222.25   | 0.02%             | 2056-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2056                                             | CUSIP: 3140FXDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24290996 | PA      | $23690206.12   | 0.02%             | 2056-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2056                                             | CUSIP: 3140FXDY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22040627 | PA      | $21386408.25   | 0.02%             | 2056-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2041                                             | CUSIP: 3140FXGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14599931 | PA      | $14617973.85   | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 03/01/2062                                             | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  120408813 | PA      | $99144996.93   | 0.10%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.30 06/01/2047                                             | CUSIP: 3140GPKB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1038729 | PA      | $1078734.30    | 0.00%             | 2047-06-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.238 07/01/2047                                            | CUSIP: 3140GQYU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2525024 | PA      | $2625680.08    | 0.00%             | 2047-07-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.276 06/01/2047                                            | CUSIP: 3140GT3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1045821 | PA      | $1087800.38    | 0.00%             | 2047-06-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.235 07/01/2047                                            | CUSIP: 3140GT3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520402 | PA      | $541178.32     | 0.00%             | 2047-07-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.36 08/01/2047                                             | CUSIP: 3140GT5M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547824 | PA      | $567748.33     | 0.00%             | 2047-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.36 08/01/2047                                             | CUSIP: 3140GT5Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221217 | PA      | $229907.14     | 0.00%             | 2047-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.34 08/01/2047                                             | CUSIP: 3140GTZD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     810778 | PA      | $843466.85     | 0.00%             | 2047-08-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.033 11/01/2047                                            | CUSIP: 3140GYNV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347324 | PA      | $360953.36     | 0.00%             | 2047-11-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.07 11/01/2047                                             | CUSIP: 3140H1LF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1017124 | PA      | $1057370.98    | 0.00%             | 2047-11-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.61 01/01/2048                                             | CUSIP: 3140H6BY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250339 | PA      | $260626.42     | 0.00%             | 2048-01-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.61 01/01/2048                                             | CUSIP: 3140H6CV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320755 | PA      | $334134.02     | 0.00%             | 2048-01-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2048                                             | CUSIP: 3140HBJG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26940461 | PA      | $26757641.40   | 0.03%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.37 08/01/2048                                             | CUSIP: 3140HNYZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533257 | PA      | $554812.56     | 0.00%             | 2048-08-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.357 08/01/2047                                            | CUSIP: 3140J53D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1538114 | PA      | $1601437.22    | 0.00%             | 2047-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2045                                             | CUSIP: 3140J5FD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4771094 | PA      | $4807191.84    | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2046                                             | CUSIP: 3140J5GQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7143243 | PA      | $7190329.02    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2044                                             | CUSIP: 3140J5JW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10060448 | PA      | $10126762.19   | 0.01%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2043                                             | CUSIP: 3140J5QK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16055207 | PA      | $16109501.43   | 0.02%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 05/01/2047                                             | CUSIP: 3140J5ZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10185988 | PA      | $10116871.75   | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.351 10/01/2047                                            | CUSIP: 3140J6AQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     785209 | PA      | $816544.10     | 0.00%             | 2047-10-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2046                                             | CUSIP: 3140J7WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8546402 | PA      | $8204379.91    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2047                                             | CUSIP: 3140J7XQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40400401 | PA      | $39106983.61   | 0.04%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.867 03/01/2048                                            | CUSIP: 3140J82E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1564399 | PA      | $1591066.74    | 0.00%             | 2048-03-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.579 04/01/2048                                            | CUSIP: 3140J8H71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     911272 | PA      | $946378.85     | 0.00%             | 2048-04-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.528 05/01/2048                                            | CUSIP: 3140J8HN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7366806 | PA      | $7655092.94    | 0.01%             | 2048-05-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.423 11/01/2048                                            | CUSIP: 3140J97J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1011712 | PA      | $1051383.90    | 0.00%             | 2048-11-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2033                                             | CUSIP: 3140J9KS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   76346210 | PA      | $75639650.37   | 0.07%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.404 10/01/2048                                            | CUSIP: 3140J9TB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1181564 | PA      | $1228439.81    | 0.00%             | 2048-10-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2048                                             | CUSIP: 3140J9VK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6313590 | PA      | $6270744.33    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.659 01/01/2050                                            | CUSIP: 3140JA4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1922276 | PA      | $1940906.29    | 0.00%             | 2050-01-01      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 12/01/2048                                             | CUSIP: 3140JAKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17969470 | PA      | $18250441.32   | 0.02%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.219 04/01/2049                                            | CUSIP: 3140JAWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633351 | PA      | $658125.82     | 0.00%             | 2049-04-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.648 08/01/2049                                            | CUSIP: 3140JAX86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4359052 | PA      | $4515914.09    | 0.00%             | 2049-08-01      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.631 08/01/2049                                            | CUSIP: 3140JAYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9219752 | PA      | $9084134.41    | 0.01%             | 2049-08-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.093 08/01/2049                                            | CUSIP: 3140JAYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1801250 | PA      | $1868434.13    | 0.00%             | 2049-08-01      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.346 09/01/2049                                            | CUSIP: 3140JAYM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6724189 | PA      | $6566919.63    | 0.01%             | 2049-09-01      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.179 09/01/2049                                            | CUSIP: 3140JAYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9525981 | PA      | $9783861.23    | 0.01%             | 2049-09-01      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.326 10/01/2049                                            | CUSIP: 3140JAZP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1291777 | PA      | $1324706.59    | 0.00%             | 2049-10-01      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.168 12/01/2050                                            | CUSIP: 3140JBVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20023116 | PA      | $18729437.64   | 0.02%             | 2050-12-01      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.034 05/01/2052                                            | CUSIP: 3140JBWE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  128714883 | PA      | $118372373.52  | 0.11%             | 2052-05-01      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.512 07/01/2053                                            | CUSIP: 3140JCB60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31631792 | PA      | $31579038.06   | 0.03%             | 2053-07-01      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.258 07/01/2053                                            | CUSIP: 3140JCBK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4502808 | PA      | $4454569.89    | 0.00%             | 2053-07-01      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.672 04/01/2053                                            | CUSIP: 3140JCBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32521859 | PA      | $32781735.79   | 0.03%             | 2053-04-01      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.094 06/01/2055                                            | CUSIP: 3140JCTK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23611445 | PA      | $23863992.86   | 0.02%             | 2055-06-01      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 11/01/2041                                             | CUSIP: 3140LYNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69060778 | PA      | $60111621.55   | 0.06%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 03/01/2042                                             | CUSIP: 3140M2KG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31966659 | PA      | $28690922.00   | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140MA4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  122793464 | PA      | $113800943.42  | 0.11%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140MAZM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17443361 | PA      | $16320162.16   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2052                                             | CUSIP: 3140MFYF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69931491 | PA      | $66755723.05   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140MJ7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25087838 | PA      | $23423748.44   | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140MJ7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30175313 | PA      | $28102226.14   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140MKFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  111317048 | PA      | $103164978.69  | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140MKFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30733165 | PA      | $28482486.87   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 05/01/2052                                             | CUSIP: 3140MKFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14075333 | PA      | $13421288.83   | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140MP6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70412121 | PA      | $65255637.70   | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140MQA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32434678 | PA      | $30059392.87   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140MQAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   64688309 | PA      | $59950997.19   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140MQDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20938505 | PA      | $19405117.37   | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2048                                             | CUSIP: 3140Q9JB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34381 | PA      | $34150.81      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 07/01/2050                                             | CUSIP: 3140QD4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55572280 | PA      | $45892962.28   | 0.04%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   85607697 | PA      | $73782087.99   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58321267 | PA      | $50278597.34   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 07/01/2050                                             | CUSIP: 3140QD5N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57670296 | PA      | $47625737.13   | 0.05%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  134954548 | PA      | $116312964.30  | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68952545 | PA      | $59391379.23   | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23538465 | PA      | $20279765.15   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2050                                             | CUSIP: 3140QDBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8656494 | PA      | $7920962.46    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2050                                             | CUSIP: 3140QDTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33321046 | PA      | $28742322.66   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2050                                             | CUSIP: 3140QDV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   98574778 | PA      | $85003645.07   | 0.08%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 06/01/2050                                             | CUSIP: 3140QDZE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   84808681 | PA      | $70036805.52   | 0.07%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 07/01/2050                                             | CUSIP: 3140QEC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6420936 | PA      | $5292560.82    | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 07/01/2050                                             | CUSIP: 3140QEC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   91072485 | PA      | $75068297.39   | 0.07%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QEDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36554316 | PA      | $31501732.79   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QEGY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  130291174 | PA      | $112281902.05  | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QEHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  138528814 | PA      | $119489408.06  | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2050                                             | CUSIP: 3140QEJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  132874283 | PA      | $114581362.20  | 0.11%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2050                                             | CUSIP: 3140QEN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23236134 | PA      | $20047871.68   | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2050                                             | CUSIP: 3140QEN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  113605408 | PA      | $98017429.15   | 0.09%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 08/01/2050                                             | CUSIP: 3140QENL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  101927896 | PA      | $84015483.69   | 0.08%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 09/01/2050                                             | CUSIP: 3140QEVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  124487870 | PA      | $102804013.70  | 0.10%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 09/01/2050                                             | CUSIP: 3140QEVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22845558 | PA      | $18830828.12   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2050                                             | CUSIP: 3140QEVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51447349 | PA      | $44347363.58   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 09/01/2050                                             | CUSIP: 3140QEWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93456524 | PA      | $77177851.44   | 0.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2050                                             | CUSIP: 3140QEWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83174910 | PA      | $71762379.55   | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 09/01/2050                                             | CUSIP: 3140QEWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   92834867 | PA      | $76520725.55   | 0.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2050                                             | CUSIP: 3140QEXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42235856 | PA      | $36548190.85   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 12/01/2050                                             | CUSIP: 3140QF7L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  132896704 | PA      | $109688318.70  | 0.11%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 11/01/2050                                             | CUSIP: 3140QFSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   76970191 | PA      | $66398074.97   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 12/01/2050                                             | CUSIP: 3140QGAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  100119432 | PA      | $82635336.71   | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 12/01/2050                                             | CUSIP: 3140QGAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  173156682 | PA      | $142584020.08  | 0.14%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 12/01/2050                                             | CUSIP: 3140QGLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  160804536 | PA      | $132758489.44  | 0.13%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 01/01/2051                                             | CUSIP: 3140QGLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  132298682 | PA      | $109164050.52  | 0.10%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2051                                             | CUSIP: 3140QGRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   82206543 | PA      | $70971915.71   | 0.07%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 02/01/2051                                             | CUSIP: 3140QGYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89739804 | PA      | $74026713.93   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 02/01/2051                                             | CUSIP: 3140QGZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36021697 | PA      | $29653707.13   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 01/01/2052                                             | CUSIP: 3140QM3N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  142749621 | PA      | $117245221.82  | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 01/01/2052                                             | CUSIP: 3140QM3Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  194268645 | PA      | $159035991.94  | 0.15%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2052                                             | CUSIP: 3140QM4H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  177241954 | PA      | $152632601.89  | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2052                                             | CUSIP: 3140QM4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  142310081 | PA      | $122227454.95  | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 12/01/2051                                             | CUSIP: 3140QMQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17431236 | PA      | $14958347.96   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2052                                             | CUSIP: 3140QMZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  182304183 | PA      | $156991916.22  | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 05/01/2052                                             | CUSIP: 3140QN6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   92914764 | PA      | $83251589.65   | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140QN7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  103269518 | PA      | $96364588.83   | 0.09%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 02/01/2052                                             | CUSIP: 3140QNE99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42704511 | PA      | $36677944.52   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 03/01/2052                                             | CUSIP: 3140QNNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20609349 | PA      | $17653900.90   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140QNV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  106736179 | PA      | $99431815.51   | 0.10%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140QPAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60584069 | PA      | $56533268.54   | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140QPAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38422191 | PA      | $35792756.04   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140QPHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   73137956 | PA      | $68132444.45   | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140QPHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56544980 | PA      | $52573435.85   | 0.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                             | CUSIP: 3140QPRA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10913864 | PA      | $10184150.61   | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                             | CUSIP: 3140QPRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63057263 | PA      | $58628517.26   | 0.06%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 08/01/2052                                             | CUSIP: 3140QPY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50944428 | PA      | $47378881.59   | 0.05%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140QQBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  108380216 | PA      | $100443219.29  | 0.10%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2052                                             | CUSIP: 3140QQKX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  182727289 | PA      | $173462787.07  | 0.17%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2052                                             | CUSIP: 3140QQLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  184607260 | PA      | $180806691.07  | 0.17%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2052                                             | CUSIP: 3140QQMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15767417 | PA      | $15452177.36   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2054                                             | CUSIP: 3140QVVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40963762 | PA      | $40000591.81   | 0.04%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2054                                             | CUSIP: 3140QVVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58689617 | PA      | $57309661.17   | 0.05%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2053                                             | CUSIP: 3140W0H40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34097467 | PA      | $33429665.39   | 0.03%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2054                                             | CUSIP: 3140W0KU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   85337539 | PA      | $83977544.60   | 0.08%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2053                                             | CUSIP: 3140W0P33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23422212 | PA      | $21706935.96   | 0.02%             | 2053-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2054                                             | CUSIP: 3140W0PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  227456149 | PA      | $222754363.95  | 0.21%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2054                                             | CUSIP: 3140W0PM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  184533259 | PA      | $180747134.75  | 0.17%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2053                                             | CUSIP: 3140W0WT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71813143 | PA      | $70391721.31   | 0.07%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2054                                             | CUSIP: 3140W0YA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18158271 | PA      | $17893694.55   | 0.02%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2052                                             | CUSIP: 3140W12K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  134711745 | PA      | $128562837.02  | 0.12%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140W1GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32527907 | PA      | $30392282.27   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2055                                             | CUSIP: 3140W27A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  373671048 | PA      | $364884744.97  | 0.35%             | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2053                                             | CUSIP: 3140W2J51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70153688 | PA      | $68743434.27   | 0.07%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2054                                             | CUSIP: 3140W3ET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47194986 | PA      | $46255983.68   | 0.04%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2055                                             | CUSIP: 3140W4AG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  197910559 | PA      | $193257036.91  | 0.19%             | 2055-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2050                                             | CUSIP: 3140X62F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30230271 | PA      | $26052087.19   | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2050                                             | CUSIP: 3140X62L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67686740 | PA      | $58352633.99   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2050                                             | CUSIP: 3140X7S75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37493091 | PA      | $32339285.65   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2050                                             | CUSIP: 3140X7VW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34219893 | PA      | $29531530.68   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 12/01/2050                                             | CUSIP: 3140X8VL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6502546 | PA      | $5619679.83    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 02/01/2051                                             | CUSIP: 3140X9TB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17130044 | PA      | $14142941.41   | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 02/01/2051                                             | CUSIP: 3140X9UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  181339457 | PA      | $149712769.87  | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 01/01/2051                                             | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  564407622 | PA      | $526184154.21  | 0.50%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2051                                             | CUSIP: 3140XCDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26225612 | PA      | $22636076.39   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 02/01/2051                                             | CUSIP: 3140XCW61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52913289 | PA      | $45627769.52   | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2041                                             | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37260992 | PA      | $33293310.86   | 0.03%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 12/01/2051                                             | CUSIP: 3140XD6L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  129078073 | PA      | $111239171.85  | 0.11%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 11/01/2051                                             | CUSIP: 3140XDRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78323198 | PA      | $67129196.40   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 11/01/2041                                             | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43976946 | PA      | $39293606.22   | 0.04%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 11/01/2051                                             | CUSIP: 3140XEB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61998550 | PA      | $57458217.47   | 0.06%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 02/01/2052                                             | CUSIP: 3140XFM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  179837158 | PA      | $154048743.35  | 0.15%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2052                                             | CUSIP: 3140XFMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   79011674 | PA      | $67906964.24   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 02/01/2052                                             | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  176505719 | PA      | $151597742.45  | 0.15%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2052                                             | CUSIP: 3140XGG45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6272299 | PA      | $5824131.12    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140XGMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17213692 | PA      | $16062625.94   | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 04/01/2052                                             | CUSIP: 3140XGPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8247133 | PA      | $7064605.79    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 04/01/2052                                             | CUSIP: 3140XGVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93135578 | PA      | $83702992.16   | 0.08%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140XGWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  129922594 | PA      | $121235124.04  | 0.12%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140XHCA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   99356529 | PA      | $92712864.77   | 0.09%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140XHCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   95990802 | PA      | $89421243.41   | 0.09%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140XHLS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   86777289 | PA      | $80974866.08   | 0.08%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140XHLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  119544129 | PA      | $111362479.84  | 0.11%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140XHLV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61204146 | PA      | $57015172.13   | 0.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                             | CUSIP: 3140XHVP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11018641 | PA      | $10309079.97   | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                             | CUSIP: 3140XHXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14370937 | PA      | $13387359.25   | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 03/01/2052                                             | CUSIP: 3140XK2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22971655 | PA      | $19782173.65   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2052                                             | CUSIP: 3140XKG20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  333290178 | PA      | $308882374.95  | 0.30%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2053                                             | CUSIP: 3140XKVV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   85018233 | PA      | $78792101.64   | 0.08%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2053                                             | CUSIP: 3140XLP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27377349 | PA      | $26092572.43   | 0.03%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 10/01/2053                                             | CUSIP: 3140XNKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  305559172 | PA      | $283182190.77  | 0.27%             | 2053-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2053                                             | CUSIP: 3140XNLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22416967 | PA      | $21961780.85   | 0.02%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2053                                             | CUSIP: 3140XPTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  219574428 | PA      | $209223893.94  | 0.20%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2053                                             | CUSIP: 3140XPTM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  138342477 | PA      | $131835382.33  | 0.13%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2053                                             | CUSIP: 3140XQJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  166852856 | PA      | $154633739.34  | 0.15%             | 2053-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2053                                             | CUSIP: 3140XREK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30478571 | PA      | $29891031.43   | 0.03%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2054                                             | CUSIP: 3140XRP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 1179513395 | PA      | $1153599509.63 | 1.11%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 10/01/2051                                             | CUSIP: 3140XRPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4596913 | PA      | $4347000.74    | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2053                                             | CUSIP: 3140XRR49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  215980480 | PA      | $211371467.64  | 0.20%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2054                                             | CUSIP: 3140XRR64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  276488251 | PA      | $270630277.66  | 0.26%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 02/01/2048                                             | CUSIP: 3140XTCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11139960 | PA      | $10441218.00   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2055                                             | CUSIP: 3140Y7ZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   79121658 | PA      | $77261131.88   | 0.07%             | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.25 12/01/2036                                             | CUSIP: 31410F3F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185081 | PA      | $189896.19     | 0.00%             | 2036-12-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 03/01/2037                                             | CUSIP: 31410F6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18492 | PA      | $19653.04      | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 02/01/2035                                             | CUSIP: 31410FT62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184409 | PA      | $189157.27     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.551 01/01/2037                                            | CUSIP: 31410FWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405606 | PA      | $418005.20     | 0.00%             | 2037-01-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.446 11/01/2036                                            | CUSIP: 31410FWP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341965 | PA      | $352629.66     | 0.00%             | 2036-11-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.449 07/01/2034                                            | CUSIP: 31410FWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256992 | PA      | $263073.33     | 0.00%             | 2034-07-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.975 04/01/2037                                            | CUSIP: 31410G6G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132486 | PA      | $135368.37     | 0.00%             | 2037-04-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 08/01/2035                                             | CUSIP: 31410GBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459385 | PA      | $471204.77     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 04/01/2035                                             | CUSIP: 31410GJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11392 | PA      | $11807.22      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 11/01/2037                                             | CUSIP: 31410GRL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695810 | PA      | $739890.48     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 03/01/2036                                             | CUSIP: 31410GTM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1301296 | PA      | $1344893.75    | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2037                                             | CUSIP: 31410GW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150063 | PA      | $159609.21     | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 11/01/2035                                             | CUSIP: 31410KAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1908460 | PA      | $1995287.59    | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 12/01/2037                                             | CUSIP: 31410KUK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     834430 | PA      | $887752.00     | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2035                                             | CUSIP: 31410LP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1524518 | PA      | $1507847.34    | 0.00%             | 2035-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.915 02/01/2037                                            | CUSIP: 31411GTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354810 | PA      | $367837.53     | 0.00%             | 2037-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2036                                             | CUSIP: 31411HGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111220 | PA      | $115598.00     | 0.00%             | 2036-12-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.051 01/01/2035                                            | CUSIP: 31412WYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249687 | PA      | $254118.77     | 0.00%             | 2035-01-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.788 05/01/2038                                            | CUSIP: 31414DSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367181 | PA      | $380413.17     | 0.00%             | 2038-05-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.636 09/01/2038                                            | CUSIP: 31414FUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26896 | PA      | $27755.90      | 0.00%             | 2038-09-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 10/01/2035                                             | CUSIP: 31415VYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254460 | PA      | $266034.82     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 08/01/2037                                             | CUSIP: 31416B2U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     623543 | PA      | $647001.96     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2036                                             | CUSIP: 31416B6L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513626 | PA      | $527164.73     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.521 10/01/2038                                            | CUSIP: 31416BKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126107 | PA      | $130810.19     | 0.00%             | 2038-10-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.449 10/01/2038                                            | CUSIP: 31416BKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125735 | PA      | $129355.26     | 0.00%             | 2038-10-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 05/01/2036                                             | CUSIP: 31416BR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2065591 | PA      | $2148550.98    | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2038                                             | CUSIP: 31416CC79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514529 | PA      | $545322.61     | 0.00%             | 2038-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2036                                             | CUSIP: 31416CF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6881730 | PA      | $7057201.03    | 0.01%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2039                                             | CUSIP: 31416MZR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1107472 | PA      | $1117045.53    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2039                                             | CUSIP: 31416NC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1606346 | PA      | $1620237.66    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 10/01/2037                                             | CUSIP: 31417E6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92391 | PA      | $97110.38      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2035                                             | CUSIP: 31417FDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1628064 | PA      | $1643581.13    | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2031                                             | CUSIP: 31417Y2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     993459 | PA      | $998585.29     | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2031                                             | CUSIP: 31417Y3A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6854504 | PA      | $6910778.82    | 0.01%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2031                                             | CUSIP: 31417Y4A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10174027 | PA      | $10251059.53   | 0.01%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2031                                             | CUSIP: 31417Y4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     527287 | PA      | $525515.25     | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2031                                             | CUSIP: 31417Y6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1989517 | PA      | $1982433.36    | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2029                                             | CUSIP: 31417YAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46157 | PA      | $46402.37      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 05/01/2029                                             | CUSIP: 31417YCK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95557 | PA      | $95892.02      | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2029                                             | CUSIP: 31417YDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113468 | PA      | $113902.77     | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2030                                             | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215292 | PA      | $214620.09     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2030                                             | CUSIP: 31417YTV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1301303 | PA      | $1298365.36    | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2030                                             | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1998606 | PA      | $1993451.42    | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2031                                             | CUSIP: 31417YV46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2727432 | PA      | $2747812.38    | 0.00%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2033                                             | CUSIP: 31418A2X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10880252 | PA      | $10802117.84   | 0.01%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2034                                             | CUSIP: 31418A6A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17079481 | PA      | $16953207.12   | 0.02%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2034                                             | CUSIP: 31418A6K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15760710 | PA      | $15641056.24   | 0.01%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2033                                             | CUSIP: 31418AY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323343 | PA      | $1313863.29    | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2033                                             | CUSIP: 31418AZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18851304 | PA      | $18720120.02   | 0.02%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2034                                             | CUSIP: 31418BAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19612788 | PA      | $19459342.11   | 0.02%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 04/01/2034                                             | CUSIP: 31418BB47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12184462 | PA      | $12086398.38   | 0.01%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 05/01/2034                                             | CUSIP: 31418BC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14291326 | PA      | $14172997.94   | 0.01%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2034                                             | CUSIP: 31418BFA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7487173 | PA      | $7421760.25    | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2034                                             | CUSIP: 31418BFZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22893015 | PA      | $22693177.34   | 0.02%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2034                                             | CUSIP: 31418BG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12805734 | PA      | $12688028.08   | 0.01%             | 2034-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2034                                             | CUSIP: 31418BH90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16869881 | PA      | $16714887.81   | 0.02%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2034                                             | CUSIP: 31418BJZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15225289 | PA      | $15081887.64   | 0.01%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2034                                             | CUSIP: 31418BLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15483287 | PA      | $15330011.26   | 0.01%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2035                                             | CUSIP: 31418BLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8002208 | PA      | $7922961.94    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2035                                             | CUSIP: 31418BN51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3967718 | PA      | $3934335.38    | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2035                                             | CUSIP: 31418BS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1252825 | PA      | $1240250.63    | 0.00%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2045                                             | CUSIP: 31418BVH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     775046 | PA      | $749993.39     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 11/01/2035                                             | CUSIP: 31418BWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5132549 | PA      | $5004059.83    | 0.00%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2035                                             | CUSIP: 31418BXJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5323255 | PA      | $5264628.27    | 0.01%             | 2035-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2037                                             | CUSIP: 31418CG99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45082431 | PA      | $44200198.66   | 0.04%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 02/01/2037                                             | CUSIP: 31418CGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1993335 | PA      | $1932846.70    | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2037                                             | CUSIP: 31418CJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2947370 | PA      | $2857840.20    | 0.00%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2047                                             | CUSIP: 31418CQY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162990 | PA      | $158360.56     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2047                                             | CUSIP: 31418CR55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     399062 | PA      | $383276.26     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2047                                             | CUSIP: 31418CSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364527 | PA      | $350105.49     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 11/01/2041                                             | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28371637 | PA      | $25534780.53   | 0.02%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 03/01/2049                                             | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1062054 | PA      | $1075042.60    | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2031                                             | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5425579 | PA      | $5406833.29    | 0.01%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 03/01/2050                                             | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  104664372 | PA      | $93464007.53   | 0.09%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5651833 | PA      | $5237932.75    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  800260282 | PA      | $741654908.40  | 0.71%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2052                                             | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  306947482 | PA      | $292936910.33  | 0.28%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 3104143061 | PA      | $2876817693.67 | 2.76%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                             | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  983016376 | PA      | $911027246.30  | 0.87%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2052                                             | CUSIP: 31418EE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29551103 | PA      | $28202217.66   | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2052                                             | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25015166 | PA      | $24522781.24   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2042                                             | CUSIP: 31418EED8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16336451 | PA      | $14642164.21   | 0.01%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2052                                             | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  168578517 | PA      | $160083051.58  | 0.15%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2052                                             | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54348984 | PA      | $53279203.48   | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 09/01/2052                                             | CUSIP: 31418EHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  389506790 | PA      | $360982082.13  | 0.35%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2052                                             | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  704798771 | PA      | $671481438.78  | 0.64%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2052                                             | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  407411377 | PA      | $399349964.69  | 0.38%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 10/01/2052                                             | CUSIP: 31418EJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53429322 | PA      | $49516537.94   | 0.05%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2052                                             | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  560395814 | PA      | $533991728.19  | 0.51%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2052                                             | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   76896331 | PA      | $75422390.18   | 0.07%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 11/01/2052                                             | CUSIP: 31418EKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68202619 | PA      | $63207944.08   | 0.06%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2052                                             | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  207764918 | PA      | $198216998.02  | 0.19%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2052                                             | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8642311 | PA      | $8468636.32    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 01/01/2053                                             | CUSIP: 31418ENU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61594716 | PA      | $57083956.60   | 0.05%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2053                                             | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  119803053 | PA      | $117296156.48  | 0.11%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2054                                             | CUSIP: 31418FEB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  261378760 | PA      | $255233199.26  | 0.24%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2054                                             | CUSIP: 31418FEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  805099269 | PA      | $786169404.86  | 0.75%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2055                                             | CUSIP: 31418FF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5827760 | PA      | $5690734.67    | 0.01%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2055                                             | CUSIP: 31418FGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77948283 | PA      | $76115440.67   | 0.07%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2055                                             | CUSIP: 31418FJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  113301739 | PA      | $110637607.41  | 0.11%             | 2055-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2055                                             | CUSIP: 31418FLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  106169660 | PA      | $103673151.67  | 0.10%             | 2055-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 08/01/2039                                             | CUSIP: 31418MEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15015 | PA      | $15970.42      | 0.00%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 11/01/2034                                             | CUSIP: 31418MFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46492 | PA      | $48337.31      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2038                                             | CUSIP: 31418MGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3342018 | PA      | $3494091.97    | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 04/01/2037                                             | CUSIP: 31418MH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3753826 | PA      | $3856033.20    | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 08/01/2039                                             | CUSIP: 31418MK92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141749 | PA      | $148165.60     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.246 12/01/2039                                            | CUSIP: 31418MRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182746 | PA      | $188822.54     | 0.00%             | 2039-12-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 08/01/2037                                             | CUSIP: 31418MRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594198 | PA      | $610178.96     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2039                                             | CUSIP: 31418MWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601797 | PA      | $627042.62     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 06/01/2036                                             | CUSIP: 31418MWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2615143 | PA      | $2713152.82    | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 07/01/2035                                             | CUSIP: 31418NA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1004040 | PA      | $1029968.80    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 11/01/2039                                             | CUSIP: 31418NCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     863758 | PA      | $901541.60     | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2040                                             | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2418804 | PA      | $2438233.22    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2040                                             | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7647261 | PA      | $7700448.42    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 09/01/2038                                             | CUSIP: 31419AAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2485395 | PA      | $2648123.56    | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 01/01/2039                                             | CUSIP: 31419AP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2295646 | PA      | $2441666.55    | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 02/01/2039                                             | CUSIP: 31419AZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52595 | PA      | $55994.11      | 0.00%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2040                                             | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15193996 | PA      | $15304351.12   | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2030                                             | CUSIP: 31419ERS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104805 | PA      | $104586.45     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2040                                             | CUSIP: 31419FD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3334894 | PA      | $3265334.62    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 12/01/2052                                       | CUSIP: 31427MMU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  235026150 | PA      | $230374178.86  | 0.22%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 11/01/2054                                       | CUSIP: 31427MQG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42325442 | PA      | $41330266.27   | 0.04%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 04/01/2053                                       | CUSIP: 31427NNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   70428647 | PA      | $67208372.57   | 0.06%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 04/01/2055                                       | CUSIP: 31427NSQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23233821 | PA      | $22863565.86   | 0.02%             | 2055-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 05/01/2053                                       | CUSIP: 31427NWG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  104577328 | PA      | $102485818.30  | 0.10%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 09/01/2055                                       | CUSIP: 31427PRM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  342184975 | PA      | $334138957.65  | 0.32%             | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 04/01/2055                                       | CUSIP: 31427QUT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  249380623 | PA      | $243517030.70  | 0.23%             | 2055-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.901 07/01/2052                                           | CUSIP: 3142BAKD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6817867 | PA      | $6738205.57    | 0.01%             | 2052-07-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.945 06/01/2055                                           | CUSIP: 3142BGWF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44370322 | PA      | $43476342.17   | 0.04%             | 2055-06-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.063 09/01/2052                                           | CUSIP: 3142BNJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26729386 | PA      | $26278640.22   | 0.03%             | 2052-09-01      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 11/01/2055                                       | CUSIP: 3142GVQ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24348853 | PA      | $23851563.00   | 0.02%             | 2055-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 10/01/2055                                       | CUSIP: 3142GVTE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39280906 | PA      | $38357217.22   | 0.04%             | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 5.10 04/15/2029                           | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  179645000 | PA      | $181955719.74  | 0.17%             | 2029-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.96 05/15/2030                           | CUSIP: 34531QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15510000 | PA      | $15852556.96   | 0.02%             | 2030-05-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 3.95 07/15/2031                           | CUSIP: 34532BAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32880000 | PA      | $32932581.70   | 0.03%             | 2031-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.76 07/15/2029                           | CUSIP: 34532UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8329000 | PA      | $8354714.12    | 0.01%             | 2029-07-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.11 07/15/2030                           | CUSIP: 34532UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4694000 | PA      | $4720150.74    | 0.00%             | 2030-07-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.45 10/15/2029                           | CUSIP: 34535KAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  209832000 | PA      | $211914561.62  | 0.20%             | 2029-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 3.90 06/15/2030                           | CUSIP: 34535LAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   74843000 | PA      | $75042059.93   | 0.07%             | 2030-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 3.98 01/15/2032                           | CUSIP: 34535LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32000000 | PA      | $32032387.20   | 0.03%             | 2032-01-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.61 08/15/2029                           | CUSIP: 34535VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   66528000 | PA      | $67259748.12   | 0.06%             | 2029-08-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.66 09/15/2030                           | CUSIP: 34535VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15500000 | PA      | $15797775.15   | 0.02%             | 2030-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 2.70 08/10/2026                              | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  230109000 | PA      | $227876933.50  | 0.22%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 2.90 02/10/2029                              | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14096228.40   | 0.01%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 4.95 05/28/2027                              | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   62780000 | PA      | $63007929.07   | 0.06%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 7.35 11/04/2027                              | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  126460000 | PA      | $131983468.03  | 0.13%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.95 03/06/2026                              | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   18575000 | PA      | $18616881.80   | 0.02%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.80 05/12/2028                              | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  182578000 | PA      | $190515699.05  | 0.18%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.798 11/07/2028                             | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   26051000 | PA      | $27330620.69   | 0.03%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 5.125 11/05/2026                             | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   90690000 | PA      | $91182736.91   | 0.09%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.054 11/05/2031                             | CUSIP: 345397G31<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6369000 | PA      | $6523899.43    | 0.01%             | 2031-11-05      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 5.918 03/20/2028                             | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   51375000 | PA      | $52566763.86   | 0.05%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.532 03/19/2032                             | CUSIP: 345397G98<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   60855000 | PA      | $63639544.06   | 0.06%             | 2032-03-19      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 5.73 09/05/2030                              | CUSIP: 345397H48<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   83975000 | PA      | $85267949.64   | 0.08%             | 2030-09-05      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 4.389 01/08/2026                             | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   31215000 | PA      | $31216936.58   | 0.03%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 5.113 05/03/2029                             | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5605000 | PA      | $5613651.09    | 0.01%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 4.542 08/01/2026                             | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   22235000 | PA      | $22204729.05   | 0.02%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust    | Freddie Mac Seasoned Credit Risk Transfer Trust 4.50 06/01/2057        | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7912692 | PA      | $7812603.51    | 0.01%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 7.00 05/01/2028                                             | CUSIP: 36225BTK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        554 | PA      | $553.61        | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.00 01/01/2035                                             | CUSIP: 3622A2TT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1498206 | PA      | $1481570.18    | 0.00%             | 2035-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                          | GSMPS Mortgage Loan Trust 8.50 06/01/2034                              | CUSIP: 36242DJU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1199649 | PA      | $1206397.98    | 0.00%             | 2034-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 4.28 04/16/2030     | CUSIP: 362549AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31827000 | PA      | $32068210.47   | 0.03%             | 2030-04-16      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 4.42 05/16/2031     | CUSIP: 362549AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6866000 | PA      | $6954561.79    | 0.01%             | 2031-05-16      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                   | GE HealthCare Technologies, Inc. 4.80 08/14/2029                       | CUSIP: 36266GAA5<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   68865000 | PA      | $70390713.03   | 0.07%             | 2029-08-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                   | GE HealthCare Technologies, Inc. 5.857 03/15/2030                      | CUSIP: 36267VAH6<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   21550000 | PA      | $22789420.88   | 0.02%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                   | GE HealthCare Technologies, Inc. 5.905 11/22/2032                      | CUSIP: 36267VAK9<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |  147180000 | PA      | $158541061.16  | 0.15%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 3.84 02/18/2031     | CUSIP: 36273EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31657000 | PA      | $31673693.69   | 0.03%             | 2031-02-18      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 4.18 08/16/2030     | CUSIP: 379957AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   38950000 | PA      | $39264147.33   | 0.04%             | 2030-08-16      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 4.40 08/16/2029     | CUSIP: 38014AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   58290000 | PA      | $58727081.74   | 0.06%             | 2029-08-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 4.44 04/16/2030     | CUSIP: 38014AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8043000 | PA      | $8134757.76    | 0.01%             | 2030-04-16      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 5.727 04/25/2030                         | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   65285000 | PA      | $68204669.89   | 0.07%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 4.692 10/23/2030                         | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   45659000 | PA      | $46281963.18   | 0.04%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 4.937 04/23/2028                         | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  113510000 | PA      | $114806491.92  | 0.11%             | 2028-04-23      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 5.218 04/23/2031                         | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  108860000 | PA      | $112435771.23  | 0.11%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 4.153 10/21/2029                         | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   75865000 | PA      | $75848023.69   | 0.07%             | 2029-10-21      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 3.615 03/15/2028                         | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  341685000 | PA      | $339787865.79  | 0.33%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.48714 12/20/2067                                          | CUSIP: 38375U2C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12563273 | PA      | $12618930.38   | 0.01%             | 2067-12-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.09943 01/20/2068                                          | CUSIP: 38375U3Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6349241 | PA      | $6366803.32    | 0.01%             | 2068-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.09943 12/20/2067                                          | CUSIP: 38375U4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13318970 | PA      | $13355117.56   | 0.01%             | 2067-12-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.97754 02/20/2068                                          | CUSIP: 38375U5E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32791565 | PA      | $32786312.10   | 0.03%             | 2068-02-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.95754 01/20/2068                                          | CUSIP: 38375U5V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10809638 | PA      | $10833125.80   | 0.01%             | 2068-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.93754 12/20/2067                                          | CUSIP: 38375U6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19810539 | PA      | $19844532.22   | 0.02%             | 2067-12-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.93754 01/20/2068                                          | CUSIP: 38375U6D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37517863 | PA      | $37599775.63   | 0.04%             | 2068-01-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.02754 02/20/2068                                          | CUSIP: 38375U6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12719435 | PA      | $12760919.91   | 0.01%             | 2068-02-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.97754 02/20/2068                                          | CUSIP: 38375U7L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20153990 | PA      | $20187397.33   | 0.02%             | 2068-02-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.6774 06/20/2067                                           | CUSIP: 38375UB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27223090 | PA      | $27337854.30   | 0.03%             | 2067-06-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.78169 08/20/2067                                          | CUSIP: 38375UC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5306899 | PA      | $5332770.80    | 0.01%             | 2067-08-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.04655 09/20/2067                                          | CUSIP: 38375UK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19215496 | PA      | $19350843.92   | 0.02%             | 2067-09-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.68411 09/20/2067                                          | CUSIP: 38375UK90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9269793 | PA      | $9280604.92    | 0.01%             | 2067-09-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.73165 10/20/2067                                          | CUSIP: 38375UM56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13381278 | PA      | $13455006.40   | 0.01%             | 2067-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71165 10/20/2067                                          | CUSIP: 38375UP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45883404 | PA      | $46130173.92   | 0.04%             | 2067-10-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71165 10/20/2067                                          | CUSIP: 38375UQ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24415966 | PA      | $24548452.21   | 0.02%             | 2067-10-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.70165 10/20/2067                                          | CUSIP: 38375UQ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6833104 | PA      | $6868459.05    | 0.01%             | 2067-10-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.76411 10/20/2064                                          | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1378397 | PA      | $1380463.22    | 0.00%             | 2064-10-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.49419 11/20/2067                                          | CUSIP: 38375UW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4490024 | PA      | $4507763.48    | 0.00%             | 2067-11-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.51419 11/20/2067                                          | CUSIP: 38375UY20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6207796 | PA      | $6233088.17    | 0.01%             | 2067-11-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.51419 11/20/2067                                          | CUSIP: 38375UY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49366814 | PA      | $49573774.67   | 0.05%             | 2067-11-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.24943 01/20/2067                                          | CUSIP: 38375UYF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18616971 | PA      | $18703735.51   | 0.02%             | 2067-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.92411 12/20/2066                                          | CUSIP: 38375UYH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1994403 | PA      | $2002436.14    | 0.00%             | 2066-12-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.25943 01/20/2067                                          | CUSIP: 38375UYL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7288875 | PA      | $7325775.53    | 0.01%             | 2067-01-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.50714 12/20/2067                                          | CUSIP: 38375UZ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12995453 | PA      | $13049464.45   | 0.01%             | 2067-12-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.14185 04/20/2067                                          | CUSIP: 38375UZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5991111 | PA      | $6027169.29    | 0.01%             | 2067-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.12353 02/20/2067                                          | CUSIP: 38376R2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6268387 | PA      | $6300230.04    | 0.01%             | 2067-02-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.87502 05/20/2067                                          | CUSIP: 38376R2R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10114806 | PA      | $10160253.82   | 0.01%             | 2067-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.97502 05/20/2067                                          | CUSIP: 38376R3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3929156 | PA      | $3953842.81    | 0.00%             | 2067-05-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.7774 06/20/2067                                           | CUSIP: 38376R5R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4744086 | PA      | $4767013.72    | 0.00%             | 2067-06-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.02655 09/20/2067                                          | CUSIP: 38376R7F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5009440 | PA      | $5044663.23    | 0.00%             | 2067-09-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.74411 04/20/2065                                          | CUSIP: 38376RAG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2473868 | PA      | $2476833.98    | 0.00%             | 2065-04-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.86411 10/20/2066                                          | CUSIP: 38376RB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8066659 | PA      | $8090639.79    | 0.01%             | 2066-10-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.91411 11/20/2066                                          | CUSIP: 38376RD94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4542268 | PA      | $4558805.02    | 0.00%             | 2066-11-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71411 07/20/2065                                          | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1062491 | PA      | $1063347.06    | 0.00%             | 2065-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71411 08/20/2065                                          | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1236066 | PA      | $1236807.00    | 0.00%             | 2065-08-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.73411 09/20/2065                                          | CUSIP: 38376RHD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     391331 | PA      | $391798.56     | 0.00%             | 2065-09-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.60714 12/20/2066                                          | CUSIP: 38376RK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5895584 | PA      | $5928365.47    | 0.01%             | 2066-12-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.86411 11/20/2065                                          | CUSIP: 38376RPT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4362115 | PA      | $4372819.20    | 0.00%             | 2065-11-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.24943 01/20/2067                                          | CUSIP: 38376RS56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18869768 | PA      | $18959999.38   | 0.02%             | 2067-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.01411 04/20/2066                                          | CUSIP: 38376RTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4006186 | PA      | $4025691.48    | 0.00%             | 2066-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.01411 03/20/2066                                          | CUSIP: 38376RTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2766461 | PA      | $2780771.91    | 0.00%             | 2066-03-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.07353 03/20/2067                                          | CUSIP: 38376RY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     720063 | PA      | $722680.83     | 0.00%             | 2067-03-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.89411 09/20/2066                                          | CUSIP: 38376RZN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1356886 | PA      | $1361101.99    | 0.00%             | 2066-09-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.07655 09/20/2066                                          | CUSIP: 38376RZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3167784 | PA      | $3193860.64    | 0.00%             | 2066-09-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.50 09/01/2040                                             | CUSIP: 38377KEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5699690 | PA      | $5742450.16    | 0.01%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 3.50 12/01/2044                                             | CUSIP: 38379HFU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5082277 | PA      | $4804402.07    | 0.00%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 3.50 02/01/2045                                             | CUSIP: 38379JUS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14032058 | PA      | $13270689.47   | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 3.50 05/01/2045                                             | CUSIP: 38379PVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3360039 | PA      | $3188503.00    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 3.50 05/01/2045                                             | CUSIP: 38379PVY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10967615 | PA      | $10407697.29   | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.66411 03/20/2070                                          | CUSIP: 38380L5R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   59418594 | PA      | $59139932.76   | 0.06%             | 2070-03-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.91353 02/20/2068                                          | CUSIP: 38380LAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17608226 | PA      | $17646175.06   | 0.02%             | 2068-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.93353 03/20/2068                                          | CUSIP: 38380LAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6516863 | PA      | $6511603.13    | 0.01%             | 2068-03-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.94353 02/20/2068                                          | CUSIP: 38380LAY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18552158 | PA      | $18600127.86   | 0.02%             | 2068-02-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.89185 03/20/2068                                          | CUSIP: 38380LBA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14350367 | PA      | $14388224.56   | 0.01%             | 2068-03-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.86185 04/20/2068                                          | CUSIP: 38380LBC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11075106 | PA      | $11047000.87   | 0.01%             | 2068-04-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.89185 04/20/2068                                          | CUSIP: 38380LBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17132356 | PA      | $17112741.41   | 0.02%             | 2068-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.87185 03/20/2068                                          | CUSIP: 38380LBQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5655460 | PA      | $5669461.93    | 0.01%             | 2068-03-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.89185 04/20/2068                                          | CUSIP: 38380LBU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18159697 | PA      | $18135292.46   | 0.02%             | 2068-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71502 05/20/2068                                          | CUSIP: 38380LCD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17872665 | PA      | $17841261.34   | 0.02%             | 2068-05-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71411 09/20/2069                                          | CUSIP: 38380LE74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18400877 | PA      | $18349693.28   | 0.02%             | 2069-09-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.6274 06/20/2068                                           | CUSIP: 38380LET6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15779284 | PA      | $15793627.66   | 0.02%             | 2068-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.8307 02/20/2068                                           | CUSIP: 38380LFG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6494228 | PA      | $6517959.89    | 0.01%             | 2068-02-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.0307 07/20/2068                                           | CUSIP: 38380LFV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17608820 | PA      | $17709241.22   | 0.02%             | 2068-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.88165 10/20/2069                                          | CUSIP: 38380LG31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5217553 | PA      | $5250765.12    | 0.01%             | 2069-10-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.89655 08/20/2068                                          | CUSIP: 38380LJJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9737286 | PA      | $9788950.53    | 0.01%             | 2068-08-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.69419 10/20/2069                                          | CUSIP: 38380LL84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8729726 | PA      | $8783574.23    | 0.01%             | 2069-10-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.48165 10/20/2068                                          | CUSIP: 38380LLV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26570788 | PA      | $26650428.69   | 0.03%             | 2068-10-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.51419 11/20/2068                                          | CUSIP: 38380LMC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14329351 | PA      | $14360293.67   | 0.01%             | 2068-11-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.59419 11/20/2068                                          | CUSIP: 38380LMP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9886698 | PA      | $9940830.73    | 0.01%             | 2068-11-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71411 11/20/2069                                          | CUSIP: 38380LN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17151660 | PA      | $17134695.31   | 0.02%             | 2069-11-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.76411 11/20/2069                                          | CUSIP: 38380LN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20246698 | PA      | $20258216.06   | 0.02%             | 2069-11-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71411 12/20/2068                                          | CUSIP: 38380LNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23603155 | PA      | $23550767.96   | 0.02%             | 2068-12-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.61411 06/20/2068                                          | CUSIP: 38380LNG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11029325 | PA      | $11020399.33   | 0.01%             | 2068-06-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.61411 11/20/2068                                          | CUSIP: 38380LNN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10798247 | PA      | $10791595.96   | 0.01%             | 2068-11-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.76411 11/20/2069                                          | CUSIP: 38380LP64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12363216 | PA      | $12343935.98   | 0.01%             | 2069-11-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.27353 02/20/2069                                          | CUSIP: 38380LQU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8726569 | PA      | $8790809.07    | 0.01%             | 2069-02-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.36411 12/20/2070                                          | CUSIP: 38380QTM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16100948 | PA      | $16418485.81   | 0.02%             | 2070-12-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.92353 02/20/2068                                          | CUSIP: 38380VNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1279431 | PA      | $1282473.20    | 0.00%             | 2068-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.91353 03/20/2068                                          | CUSIP: 38380VPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24843613 | PA      | $24892427.82   | 0.02%             | 2068-03-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.91353 03/20/2068                                          | CUSIP: 38380VPG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14080901 | PA      | $14064185.42   | 0.01%             | 2068-03-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.76411 11/20/2069                                          | CUSIP: 38382AJ63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62385708 | PA      | $62312448.13   | 0.06%             | 2069-11-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.79419 11/20/2069                                          | CUSIP: 38382AL94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28057007 | PA      | $28385046.52   | 0.03%             | 2069-11-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.01765 03/20/2073                                          | CUSIP: 38382Y2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  137572783 | PA      | $139190432.69  | 0.13%             | 2073-03-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.93765 08/20/2071                                          | CUSIP: 38382Y2W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39985486 | PA      | $40334583.75   | 0.04%             | 2071-08-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.21765 07/20/2071                                          | CUSIP: 38382Y2X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62942357 | PA      | $63858791.79   | 0.06%             | 2071-07-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.54765 02/20/2073                                          | CUSIP: 38382Y2Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27739383 | PA      | $28455550.50   | 0.03%             | 2073-02-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.33765 02/20/2073                                          | CUSIP: 38382Y7H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   55761454 | PA      | $57029101.40   | 0.05%             | 2073-02-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.36765 08/20/2071                                          | CUSIP: 38382YBD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37988292 | PA      | $38901632.70   | 0.04%             | 2071-08-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.96411 09/20/2071                                          | CUSIP: 38382YGN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5999386 | PA      | $6037593.27    | 0.01%             | 2071-09-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.61765 11/20/2071                                          | CUSIP: 38382YHE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29960928 | PA      | $29905922.64   | 0.03%             | 2071-11-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.73765 12/20/2071                                          | CUSIP: 38382YKG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35172917 | PA      | $35241799.32   | 0.03%             | 2071-12-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.26765 01/20/2072                                          | CUSIP: 38382YKM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   47965027 | PA      | $47283497.04   | 0.05%             | 2072-01-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.46765 02/20/2067                                          | CUSIP: 38382YMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12111180 | PA      | $12096859.92   | 0.01%             | 2067-02-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.41765 02/20/2067                                          | CUSIP: 38382YMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14817953 | PA      | $14786708.90   | 0.01%             | 2067-02-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.73765 02/20/2072                                          | CUSIP: 38382YMT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  160128178 | PA      | $160431684.96  | 0.15%             | 2072-02-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71765 01/20/2072                                          | CUSIP: 38382YNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  109053587 | PA      | $109393736.53  | 0.10%             | 2072-01-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.21765 02/20/2068                                          | CUSIP: 38382YNZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   79599791 | PA      | $79267549.17   | 0.08%             | 2068-02-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.32765 08/20/2068                                          | CUSIP: 38382YPB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44140683 | PA      | $43831230.81   | 0.04%             | 2068-08-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.41765 02/20/2068                                          | CUSIP: 38382YPX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22275049 | PA      | $22225063.77   | 0.02%             | 2068-02-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.41765 01/20/2068                                          | CUSIP: 38382YQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62084301 | PA      | $61977156.01   | 0.06%             | 2068-01-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.41765 02/20/2068                                          | CUSIP: 38382YQB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   83497341 | PA      | $83291470.03   | 0.08%             | 2068-02-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.41765 06/20/2068                                          | CUSIP: 38382YQM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5090811 | PA      | $5065746.11    | 0.00%             | 2068-06-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.66765 02/20/2072                                          | CUSIP: 38382YQU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20668419 | PA      | $20692092.69   | 0.02%             | 2072-02-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.65765 04/20/2072                                          | CUSIP: 38382YQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64504098 | PA      | $64445799.14   | 0.06%             | 2072-04-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.89888 12/20/2071                                          | CUSIP: 38382YSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   88718121 | PA      | $88832629.88   | 0.09%             | 2071-12-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.84888 03/20/2072                                          | CUSIP: 38382YST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50629632 | PA      | $50587512.78   | 0.05%             | 2072-03-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.86765 05/20/2072                                          | CUSIP: 38382YSV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  101437062 | PA      | $102146482.02  | 0.10%             | 2072-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.86765 05/20/2072                                          | CUSIP: 38382YSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18743181 | PA      | $18872242.42   | 0.02%             | 2072-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.81765 05/20/2072                                          | CUSIP: 38382YSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  176064793 | PA      | $176948972.32  | 0.17%             | 2072-05-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.91765 04/20/2072                                          | CUSIP: 38382YTW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17050384 | PA      | $17199571.41   | 0.02%             | 2072-04-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.88765 05/20/2072                                          | CUSIP: 38382YTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41200880 | PA      | $41497588.63   | 0.04%             | 2072-05-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.86765 06/20/2072                                          | CUSIP: 38382YUG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  242280358 | PA      | $243981505.46  | 0.23%             | 2072-06-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.91765 08/20/2071                                          | CUSIP: 38382YYT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36564365 | PA      | $36836777.26   | 0.04%             | 2071-08-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.01765 10/20/2072                                          | CUSIP: 38382YZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  222261450 | PA      | $225789828.29  | 0.22%             | 2072-10-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.26765 09/20/2073                                          | CUSIP: 38383KFL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   73798032 | PA      | $75288287.62   | 0.07%             | 2073-09-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 6.01765 09/20/2073                                          | CUSIP: 38383KGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   66528643 | PA      | $68889085.84   | 0.07%             | 2073-09-20      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 5.25 06/15/2026                                   | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   10872000 | PA      | $10880461.79   | 0.01%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 4.125 06/15/2029                                  | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  105756000 | PA      | $105397399.38  | 0.10%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 3.125 03/15/2027                                  | CUSIP: 404119CH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   40379000 | PA      | $39956133.75   | 0.04%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 5.00 03/01/2028                                   | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   25510000 | PA      | $25985484.72   | 0.02%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 5.25 03/01/2030                                   | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   58680000 | PA      | $60576930.76   | 0.06%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 6.50 05/02/2036                                      | CUSIP: 404280AG4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  220847000 | PA      | $245780838.31  | 0.24%             | 2036-05-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 6.50 09/15/2037                                      | CUSIP: 404280AH2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  186762000 | PA      | $204873082.47  | 0.20%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 6.80 06/01/2038                                      | CUSIP: 404280AJ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   10598000 | PA      | $11966838.32   | 0.01%             | 2038-06-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 3.973 05/22/2030                                     | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   19800000 | PA      | $19559337.53   | 0.02%             | 2030-05-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 4.95 03/31/2030                                      | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   63328000 | PA      | $64919365.51   | 0.06%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 2.848 06/04/2031                                     | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  106530000 | PA      | $99576746.42   | 0.10%             | 2031-06-04      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 2.357 08/18/2031                                     | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   32125000 | PA      | $29219049.92   | 0.03%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 4.762 03/29/2033                                     | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  198365000 | PA      | $197213899.81  | 0.19%             | 2033-03-29      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 4.755 06/09/2028                                     | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   23650000 | PA      | $23857010.34   | 0.02%             | 2028-06-09      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 5.21 08/11/2028                                      | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   20125000 | PA      | $20464603.34   | 0.02%             | 2028-08-11      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 8.113 11/03/2033                                     | CUSIP: 404280DS5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  164236000 | PA      | $192477321.27  | 0.18%             | 2033-11-03      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 6.547 06/20/2034                                     | CUSIP: 404280DX4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   19964000 | PA      | $21581785.73   | 0.02%             | 2034-06-20      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 7.399 11/13/2034                                     | CUSIP: 404280EC9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   29200000 | PA      | $33321436.63   | 0.03%             | 2034-11-13      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 5.24 05/13/2031                                      | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  140940000 | PA      | $145207209.37  | 0.14%             | 2031-05-13      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.15 10/15/2029                     | CUSIP: 437921AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  111355000 | PA      | $112036113.99  | 0.11%             | 2029-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.28 08/15/2031                     | CUSIP: 437921AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24530000 | PA      | $24792593.65   | 0.02%             | 2031-08-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 5.27 11/20/2028                     | CUSIP: 437930AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19406635 | PA      | $19641348.53   | 0.02%             | 2028-11-20      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.04 02/21/2030                     | CUSIP: 43813QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  192258000 | PA      | $193355773.95  | 0.19%             | 2030-02-21      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.10 11/21/2031                     | CUSIP: 43813QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34375000 | PA      | $34552199.69   | 0.03%             | 2031-11-21      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.57 03/21/2029                     | CUSIP: 43813YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33881000 | PA      | $34138485.44   | 0.03%             | 2029-03-21      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.51 11/21/2030                     | CUSIP: 43813YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9463000 | PA      | $9565126.59    | 0.01%             | 2030-11-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.57 09/21/2029                     | CUSIP: 43814VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  352539000 | PA      | $356447423.62  | 0.34%             | 2029-09-21      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.64 05/21/2031                     | CUSIP: 43814VAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9360000 | PA      | $9520570.80    | 0.01%             | 2031-05-21      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.33 05/15/2029                     | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   87222000 | PA      | $87704590.60   | 0.08%             | 2029-05-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.35 12/16/2030                     | CUSIP: 43816DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11350000 | PA      | $11456374.47   | 0.01%             | 2030-12-16      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 3.99 09/16/2030                         | CUSIP: 44891XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  222270000 | PA      | $223123716.84  | 0.21%             | 2030-09-16      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.07 03/15/2032                         | CUSIP: 44891XAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33275000 | PA      | $33410485.82   | 0.03%             | 2032-03-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.41 05/15/2029                         | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27337000 | PA      | $27552492.10   | 0.03%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.44 01/15/2031                         | CUSIP: 448976AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12759000 | PA      | $12920166.58   | 0.01%             | 2031-01-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.32 10/15/2029                         | CUSIP: 44935CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  167650000 | PA      | $168891465.02  | 0.16%             | 2029-10-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.40 04/15/2031                         | CUSIP: 44935CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24767000 | PA      | $25071106.56   | 0.02%             | 2031-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 3.89 01/15/2032                         | CUSIP: 44935JAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   38860000 | PA      | $38833365.36   | 0.04%             | 2032-01-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.36 12/17/2029                         | CUSIP: 44935XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   82702000 | PA      | $83491522.91   | 0.08%             | 2029-12-17      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.44 06/17/2030                         | CUSIP: 44935XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15857000 | PA      | $16082293.08   | 0.02%             | 2030-06-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| State of Illinois GO                               | State of Illinois GO 5.10 06/01/2033                                   | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |  719425392 | PA      | $737317285.63  | 0.71%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 3.50 07/26/2026                                    | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   49137000 | PA      | $48919337.34   | 0.05%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 3.875 07/26/2029                                   | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  248764000 | PA      | $243866274.66  | 0.23%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 6.125 07/27/2027                                   | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  112575000 | PA      | $115875302.74  | 0.11%             | 2027-07-27      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 5.50 02/01/2030                                    | CUSIP: 45262BAG8<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  166875000 | PA      | $172865949.34  | 0.17%             | 2030-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 5.875 07/01/2034                                   | CUSIP: 45262BAH6<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   63595000 | PA      | $66496112.32   | 0.06%             | 2034-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 4.50 06/30/2028                                    | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   39475000 | PA      | $39792854.28   | 0.04%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.125 12/15/2026                                  | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  114847000 | PA      | $115053740.68  | 0.11%             | 2026-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.25 10/01/2027                                   | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  129270000 | PA      | $130209529.19  | 0.12%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 2.739 10/15/2030                                  | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9830000 | PA      | $9325191.46    | 0.01%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.493 03/24/2031                                  | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  360525000 | PA      | $363658683.30  | 0.35%             | 2031-03-24      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 2.522 04/22/2031                                  | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   66670000 | PA      | $62104917.09   | 0.06%             | 2031-04-22      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 2.956 05/13/2031                                  | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  179053000 | PA      | $168912165.04  | 0.16%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.586 04/26/2033                                  | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   47810000 | PA      | $48061968.74   | 0.05%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 5.717 09/14/2033                                  | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   74624000 | PA      | $78892049.53   | 0.08%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 5.04 01/23/2028                                   | CUSIP: 46647PEA0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   46110000 | PA      | $46587214.98   | 0.04%             | 2028-01-23      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.505 10/22/2028                                  | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   86310000 | PA      | $87155872.52   | 0.08%             | 2028-10-22      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Japan Tobacco, Inc.                                | Japan Tobacco, Inc. 4.85 05/15/2028                                    | CUSIP: 471105AC0<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |   51565000 | PA      | $52483373.68   | 0.05%             | 2028-05-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Japan Tobacco, Inc.                                | Japan Tobacco, Inc. 5.25 06/15/2030                                    | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |   72015000 | PA      | $74718621.70   | 0.07%             | 2030-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Japan Tobacco, Inc.                                | Japan Tobacco, Inc. 5.85 06/15/2035                                    | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |   49125000 | PA      | $52375876.35   | 0.05%             | 2035-06-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 6.50 02/01/2037                                    | CUSIP: 494550AV8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   49751000 | PA      | $54216879.61   | 0.05%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 6.95 01/15/2038                                    | CUSIP: 494550AW6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   76334000 | PA      | $85742341.07   | 0.08%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 6.50 09/01/2039                                    | CUSIP: 494550BD7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   70966000 | PA      | $76532391.37   | 0.07%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 5.00 08/15/2042                                    | CUSIP: 494550BN5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   75596000 | PA      | $69270990.03   | 0.07%             | 2042-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 4.80 02/01/2033                                    | CUSIP: 49456BAV3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   25250000 | PA      | $25307818.46   | 0.02%             | 2033-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 5.15 06/01/2030                                    | CUSIP: 49456BBB6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   25905000 | PA      | $26785686.59   | 0.03%             | 2030-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 7.953 11/15/2033                              | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  152876000 | PA      | $177843092.23  | 0.17%             | 2033-11-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 4.818 06/13/2029                              | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  104515000 | PA      | $106217305.83  | 0.10%             | 2029-06-13      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 4.65 03/24/2026                               | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  162425000 | PA      | $162623577.56  | 0.16%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 3.75 03/18/2028                               | CUSIP: 53944YAS2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  102420000 | PA      | $102045747.08  | 0.10%             | 2028-03-18      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 5.721 06/05/2030                              | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  124897000 | PA      | $130897967.38  | 0.13%             | 2030-06-05      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 4.425 11/04/2031                              | CUSIP: 53944YBD4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   40750000 | PA      | $40622875.89   | 0.04%             | 2031-11-04      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Macy's, Inc.                                       | Macy's, Inc. 6.70 07/15/2034                                           | CUSIP: 55617LAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   54530000 | PA      | $52637105.56   | 0.05%             | 2034-07-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                         | Mars, Inc. 4.45 03/01/2027                                             | CUSIP: 571676AW5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   41675000 | PA      | $41975740.55   | 0.04%             | 2027-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                         | Mars, Inc. 4.60 03/01/2028                                             | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  128700000 | PA      | $130463238.91  | 0.13%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                         | Mars, Inc. 4.80 03/01/2030                                             | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  173383000 | PA      | $177190946.68  | 0.17%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 4.85 07/06/2027                                              | CUSIP: 62856RAD7<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  193133000 | PA      | $194330424.60  | 0.19%             | 2027-07-06      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 3.032 11/28/2035                                     | CUSIP: 639057AB4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   88932000 | PA      | $81767090.26   | 0.08%             | 2035-11-28      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 1.642 06/14/2027                                     | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  248347000 | PA      | $245640842.21  | 0.24%             | 2027-06-14      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 6.016 03/02/2034                                     | CUSIP: 639057AH1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   70110000 | PA      | $75212666.80   | 0.07%             | 2034-03-02      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 5.808 09/13/2029                                     | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  156770000 | PA      | $163301323.52  | 0.16%             | 2029-09-13      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 6.475 06/01/2034                                     | CUSIP: 639057AP3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  141460000 | PA      | $148521330.96  | 0.14%             | 2034-06-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.58867 05/27/2049                          | CUSIP: 63939DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12399208 | PA      | $12272713.67   | 0.01%             | 2049-05-27      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.63867 06/26/2056                          | CUSIP: 63939LAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33998832 | PA      | $33638270.88   | 0.03%             | 2056-06-26      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.23867 06/25/2065                          | CUSIP: 63939QAA4<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |  165983643 | PA      | $168922814.70  | 0.16%             | 2065-06-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.03867 12/27/2066                          | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  115473125 | PA      | $116067938.29  | 0.11%             | 2066-12-27      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.98867 09/27/2066                          | CUSIP: 63940AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  101363586 | PA      | $101655290.30  | 0.10%             | 2066-09-27      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.78867 07/26/2066                          | CUSIP: 63940CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  176207987 | PA      | $175168095.49  | 0.17%             | 2066-07-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.70867 03/25/2067                          | CUSIP: 63940DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   84495451 | PA      | $83596647.13   | 0.08%             | 2067-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.68867 02/25/2070                          | CUSIP: 63940EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  106243852 | PA      | $105187576.05  | 0.10%             | 2070-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.48867 06/25/2065                          | CUSIP: 63940FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26218675 | PA      | $26781387.63   | 0.03%             | 2065-06-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.13867 03/25/2066                          | CUSIP: 63940GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  152081572 | PA      | $153188863.11  | 0.15%             | 2066-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.33867 06/25/2065                          | CUSIP: 63940HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1983474 | PA      | $2012150.57    | 0.00%             | 2065-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.03867 07/26/2066                          | CUSIP: 63940JAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  205321542 | PA      | $206334660.40  | 0.20%             | 2066-07-26      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.28867 03/25/2066                          | CUSIP: 63940LAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  129849044 | PA      | $131938522.70  | 0.13%             | 2066-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.13867 07/26/2066                          | CUSIP: 63940NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  162006416 | PA      | $163115430.49  | 0.16%             | 2066-07-26      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.78867 03/25/2067                          | CUSIP: 63940TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   94812188 | PA      | $94304364.51   | 0.09%             | 2067-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.88867 12/27/2067                          | CUSIP: 63940XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  117709171 | PA      | $117541587.99  | 0.11%             | 2067-12-27      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.66867 06/27/2067                          | CUSIP: 63941NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  102475052 | PA      | $101387955.71  | 0.10%             | 2067-06-27      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.98867 02/27/2068                          | CUSIP: 63941RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  101779393 | PA      | $102027571.98  | 0.10%             | 2068-02-27      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.81867 07/25/2068                          | CUSIP: 63941VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40124584 | PA      | $39836702.00   | 0.04%             | 2068-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.79867 07/25/2068                          | CUSIP: 63941WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34627317 | PA      | $34433168.96   | 0.03%             | 2068-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.03867 06/25/2069                          | CUSIP: 63942FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32325957 | PA      | $32473550.57   | 0.03%             | 2069-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.88867 08/26/2069                          | CUSIP: 63942HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   57879421 | PA      | $58356277.80   | 0.06%             | 2069-08-26      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.58867 12/26/2069                          | CUSIP: 63942NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   36453252 | PA      | $35954695.28   | 0.03%             | 2069-12-26      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.53867 02/25/2070                          | CUSIP: 63942QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   46623495 | PA      | $46553625.22   | 0.04%             | 2070-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 4.83867 02/25/2066                           | CUSIP: 64032KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   66592414 | PA      | $66596290.09   | 0.06%             | 2066-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 4.72621 10/25/2068                           | CUSIP: 64032VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   39090927 | PA      | $39023901.64   | 0.04%             | 2068-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 4.73867 04/25/2067                           | CUSIP: 64034CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13334973 | PA      | $13326916.35   | 0.01%             | 2067-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 5.11105 11/27/2090                           | CUSIP: 64035EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  357505000 | PA      | $357495955.12  | 0.34%             | 2090-11-27      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority RB                   | New Jersey Turnpike Authority RB 7.414 01/01/2040                      | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   40175000 | PA      | $48151452.97   | 0.05%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority RB                   | New Jersey Turnpike Authority RB 7.102 01/01/2041                      | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |  145132000 | PA      | $169572156.23  | 0.16%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 4.625 07/15/2027                                  | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  136625000 | PA      | $138090259.41  | 0.13%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 4.685 09/01/2027                                  | CUSIP: 65339KCL2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  164662000 | PA      | $166618673.61  | 0.16%             | 2027-09-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 4.90 03/15/2029                                   | CUSIP: 65339KCT5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  195260000 | PA      | $200111470.96  | 0.19%             | 2029-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 4.85 02/04/2028                                   | CUSIP: 65339KDG2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  156848000 | PA      | $159721322.04  | 0.15%             | 2028-02-04      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 5.05 03/15/2030                                   | CUSIP: 65339KDJ6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  205606000 | PA      | $212110645.99  | 0.20%             | 2030-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                | Nissan Auto Receivables Owner Trust 4.34 03/15/2029                    | CUSIP: 65479WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8288000 | PA      | $8331434.09    | 0.01%             | 2029-03-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                | Nissan Auto Receivables Owner Trust 4.35 09/15/2031                    | CUSIP: 65479WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16509000 | PA      | $16653011.31   | 0.02%             | 2031-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                    | Nordstrom, Inc. 6.95 03/15/2028                                        | CUSIP: 655664AH3<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   19672000 | PA      | $20294717.16   | 0.02%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fibercop SpA                                       | Fibercop SpA 7.20 07/18/2036                                           | CUSIP: 683879AF7<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |   52317000 | PA      | $52068494.25   | 0.05%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Fibercop SpA                                       | Fibercop SpA 7.721 06/04/2038                                          | CUSIP: 683879AH3<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |  116584000 | PA      | $116746984.43  | 0.11%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                       | Oracle Corp. 2.95 04/01/2030                                           | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  101855000 | PA      | $94029361.18   | 0.09%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                       | Oracle Corp. 4.20 09/27/2029                                           | CUSIP: 68389XCS2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   22520000 | PA      | $22070871.25   | 0.02%             | 2029-09-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                       | Oracle Corp. 4.80 08/03/2028                                           | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   81425000 | PA      | $81830387.39   | 0.08%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.625 06/15/2035                                   | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  206711000 | PA      | $196152820.19  | 0.19%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.70 02/16/2032                                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  699755000 | PA      | $697886808.10  | 0.67%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.50 06/02/2041                                    | CUSIP: 71654QAZ5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   69713000 | PA      | $60367248.73   | 0.06%             | 2041-06-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.375 01/23/2045                                   | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  133536000 | PA      | $107550869.21  | 0.10%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.75 09/21/2047                                    | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  107440000 | PA      | $88337568.75   | 0.08%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.35 02/12/2048                                    | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   22170000 | PA      | $17401016.18   | 0.02%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 7.69 01/23/2050                                    | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  916810000 | PA      | $821641583.11  | 0.79%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.625 11/17/2029                     | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   38620000 | PA      | $40600369.10   | 0.04%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.75 11/17/2032                      | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   33340000 | PA      | $35631580.22   | 0.03%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.125 02/15/2030                     | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   32576000 | PA      | $33673021.88   | 0.03%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.375 02/15/2033                     | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   77688000 | PA      | $81237409.34   | 0.08%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.50 09/07/2030                      | CUSIP: 718172DD8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   42012000 | PA      | $44174755.49   | 0.04%             | 2030-09-07      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 4.875 02/13/2029                     | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   50525000 | PA      | $51717542.08   | 0.05%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.125 02/13/2031                     | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   34960000 | PA      | $36225660.03   | 0.03%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 3.68 01/21/2030                                              | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  209567000 | PA      | $201189140.04  | 0.19%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 3.061 07/13/2031                                             | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  550362000 | PA      | $500605108.96  | 0.48%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 3.257 01/19/2027                                             | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   27741000 | PA      | $27342292.48   | 0.03%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 4.193 01/19/2032                                             | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  132600000 | PA      | $126903937.60  | 0.12%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 4.987 01/19/2052                                             | CUSIP: 74365PAJ7<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  284361000 | PA      | $225248362.34  | 0.22%             | 2052-01-19      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Unum Group                                         | Unum Group 7.25 03/15/2028                                             | CUSIP: 743862AA2<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   18469000 | PA      | $19360191.12   | 0.02%             | 2028-03-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                          | RTX Corp. 6.00 03/15/2031                                              | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   55735000 | PA      | $60035055.02   | 0.06%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                          | RTX Corp. 6.10 03/15/2034                                              | CUSIP: 75513ECW9<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   61170000 | PA      | $66925766.68   | 0.06%             | 2034-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                              | Rio Oil Finance Trust 9.75 01/06/2027                                  | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50571297 | PA      | $52117387.47   | 0.05%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                              | Rio Oil Finance Trust 8.20 04/06/2028                                  | CUSIP: 76716XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   97109475 | PA      | $100310630.58  | 0.10%             | 2028-04-06      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 4.892 05/18/2029                                     | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   12550000 | PA      | $12761115.47   | 0.01%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US                      | SSC GOVERNMENT MM GVMXX                                                | CUSIP: N/A<br>LEI: 549300BZ5TGIFZUZDZ37       | Long             | STIV             | RF                | US        |  645049314 | NS      | $645049313.71  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.12474 10/25/2064                              | CUSIP: 78442GLK0<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |   28271457 | PA      | $28069010.77   | 0.03%             | 2064-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.12474 10/25/2064                              | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |   17413306 | PA      | $17288612.98   | 0.02%             | 2064-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.20474 01/25/2040                              | CUSIP: 78442GMT0<br>LEI: 549300MMV4PL4CBOVL89 | Long             | ABS-O            | CORP              | US        |   53625558 | PA      | $53293283.03   | 0.05%             | 2040-01-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 4.74474 07/25/2040                              | CUSIP: 78442GPH3<br>LEI: 549300L7X3DWAOC00Z83 | Long             | ABS-O            | CORP              | US        |    8393665 | PA      | $8273937.15    | 0.01%             | 2040-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.06474 04/27/2043                              | CUSIP: 78444CAE3<br>LEI: 549300DP3T6QDZHB8271 | Long             | ABS-O            | CORP              | US        |   33461508 | PA      | $32320474.28   | 0.03%             | 2043-04-27      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.18867 10/25/2034                              | CUSIP: 78446JAB2<br>LEI: 549300GQO6PBOYVGSS10 | Long             | ABS-O            | CORP              | US        |    9093864 | PA      | $9166110.52    | 0.01%             | 2034-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 4.78867 01/25/2075                              | CUSIP: 78447EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   64975295 | PA      | $65003949.24   | 0.06%             | 2075-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 1.07 01/15/2053       | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19037460 | PA      | $17434911.12   | 0.02%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.06412 12/15/2068                              | CUSIP: 78449EAA2<br>LEI: GX18J72G8XB30P3MQA62 | Long             | ABS-O            | CORP              | US        |  138169982 | PA      | $138637881.04  | 0.13%             | 2068-12-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 4.99 10/16/2056       | CUSIP: 78449HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  129077643 | PA      | $130066880.84  | 0.12%             | 2056-10-16      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 3.60 01/15/2037       | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |    6939365 | PA      | $6901869.66    | 0.01%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 3.50 02/15/2036       | CUSIP: 78449PAB5<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    8579457 | PA      | $8545157.77    | 0.01%             | 2036-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 6.15 09/15/2053       | CUSIP: 78450PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  122454930 | PA      | $128853200.53  | 0.12%             | 2053-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.09 10/16/2056       | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   88579167 | PA      | $89954323.59   | 0.09%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.37 10/15/2058       | CUSIP: 78454XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  114170120 | PA      | $116655763.69  | 0.11%             | 2058-10-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corp.                           | The Charles Schwab Corp. 5.643 05/19/2029                              | CUSIP: 808513CD5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  105792000 | PA      | $109822106.04  | 0.11%             | 2029-05-19      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corp.                           | The Charles Schwab Corp. 5.853 05/19/2034                              | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   35585000 | PA      | $38118460.55   | 0.04%             | 2034-05-19      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corp.                           | The Charles Schwab Corp. 6.136 08/24/2034                              | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   79900000 | PA      | $87088746.82   | 0.08%             | 2034-08-24      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corp.                           | The Charles Schwab Corp. 6.196 11/17/2029                              | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  177914000 | PA      | $188169500.26  | 0.18%             | 2029-11-17      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corp.                           | The Charles Schwab Corp. 4.343 11/14/2031                              | CUSIP: 808513CK9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   84895000 | PA      | $84768223.75   | 0.08%             | 2031-11-14      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.21 01/01/2026                    | CUSIP: 83162CQA4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      50133 | PA      | $50132.97      | 0.00%             | 2026-01-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.35 02/01/2026                    | CUSIP: 83162CQB2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      14865 | PA      | $14873.45      | 0.00%             | 2026-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.57 03/01/2026                    | CUSIP: 83162CQD8<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      70991 | PA      | $71011.31      | 0.00%             | 2026-03-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 6.07 07/01/2026                    | CUSIP: 83162CQK2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     172104 | PA      | $172288.84     | 0.00%             | 2026-07-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.70 08/01/2026                    | CUSIP: 83162CQL0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       2049 | PA      | $2053.97       | 0.00%             | 2026-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.54 09/01/2026                    | CUSIP: 83162CQN6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       3237 | PA      | $3251.02       | 0.00%             | 2026-09-01      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.37 10/01/2026                    | CUSIP: 83162CQP1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      69146 | PA      | $69413.02      | 0.00%             | 2026-10-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.12 12/01/2026                    | CUSIP: 83162CQS5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      69937 | PA      | $70114.38      | 0.00%             | 2026-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.32 01/01/2027                    | CUSIP: 83162CQU0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     208714 | PA      | $209567.46     | 0.00%             | 2027-01-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.23 03/01/2027                    | CUSIP: 83162CQX4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     375383 | PA      | $376937.19     | 0.00%             | 2027-03-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.32 04/01/2027                    | CUSIP: 83162CQY2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     264843 | PA      | $266196.75     | 0.00%             | 2027-04-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.82 07/01/2027                    | CUSIP: 83162CRD7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     314646 | PA      | $317712.35     | 0.00%             | 2027-07-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 2.82 10/15/2035       | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |     702021 | PA      | $700015.04     | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.24 03/15/2056       | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  230723910 | PA      | $234648985.63  | 0.22%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.50 06/17/2052       | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   39077063 | PA      | $40093707.35   | 0.04%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.67 11/15/2052       | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11550088 | PA      | $11858934.67   | 0.01%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.13 04/15/2054       | CUSIP: 83207EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18378688 | PA      | $18644774.71   | 0.02%             | 2054-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.06 03/16/2054       | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   58570248 | PA      | $59277642.13   | 0.06%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.02 03/17/2053       | CUSIP: 83208BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   73851339 | PA      | $74395261.75   | 0.07%             | 2053-03-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                   | The Southern Co. 5.113 08/01/2027                                      | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  208330000 | PA      | $211660732.12  | 0.20%             | 2027-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                   | The Southern Co. 4.00 01/15/2051                                       | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  314159000 | PA      | $313970661.68  | 0.30%             | 2051-01-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                   | The Southern Co. 3.75 09/15/2051                                       | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  143981000 | PA      | $141942329.83  | 0.14%             | 2051-09-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                   | The Southern Co. 4.85 06/15/2028                                       | CUSIP: 842587DQ7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   94205000 | PA      | $95908177.41   | 0.09%             | 2028-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                   | The Southern Co. 5.50 03/15/2029                                       | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   46162000 | PA      | $47909289.40   | 0.05%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corporation                  | FIXED INC CLEARING CORP.REPO                                           | CUSIP: N/A<br>LEI: 549300H47WTHXPU08X20       | Long             | RA               | CORP              | US        |  112764228 | PA      | $112764228.46  | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                     | Synopsys, Inc. 4.65 04/01/2028                                         | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   33830000 | PA      | $34285891.39   | 0.03%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                     | Synopsys, Inc. 4.85 04/01/2030                                         | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |  120153000 | PA      | $122718607.78  | 0.12%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                     | Synopsys, Inc. 5.00 04/01/2032                                         | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |  118655000 | PA      | $121159943.50  | 0.12%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 4.75 02/01/2028                                    | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   13240000 | PA      | $13245184.25   | 0.01%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 3.875 04/15/2030                                   | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  251674000 | PA      | $247489902.13  | 0.24%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 2.25 02/15/2026                                    | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  108655000 | PA      | $108406358.24  | 0.10%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 3.375 04/15/2029                                   | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  229325000 | PA      | $223505119.06  | 0.21%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 3.50 04/15/2031                                    | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  129479000 | PA      | $123789718.64  | 0.12%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 2.55 02/15/2031                                    | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   18370000 | PA      | $16782529.26   | 0.02%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 5.20 01/15/2033                                    | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   26930000 | PA      | $27795678.32   | 0.03%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 6.55 05/01/2037                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   45183000 | PA      | $46107390.86   | 0.04%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 6.75 06/15/2039                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |  120967000 | PA      | $122353262.47  | 0.12%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 3.84 06/17/2030                    | CUSIP: 89231GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52810000 | PA      | $52866543.67   | 0.05%             | 2030-06-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 3.94 02/17/2031                    | CUSIP: 89231GAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33997000 | PA      | $34002245.74   | 0.03%             | 2031-02-17      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.34 11/15/2029                    | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16357000 | PA      | $16485346.84   | 0.02%             | 2029-11-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.49 06/17/2030                    | CUSIP: 89231HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22366000 | PA      | $22694818.22   | 0.02%             | 2030-06-17      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.88 03/15/2029                    | CUSIP: 89237QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  139728000 | PA      | $141195004.27  | 0.14%             | 2029-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.83 11/15/2029                    | CUSIP: 89237QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50237000 | PA      | $51141698.04   | 0.05%             | 2029-11-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.11 03/15/2030                    | CUSIP: 89238VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  175311000 | PA      | $176526448.69  | 0.17%             | 2030-03-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.40 06/15/2029                    | CUSIP: 89239TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   59405000 | PA      | $59818138.01   | 0.06%             | 2029-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.43 04/15/2030                    | CUSIP: 89239TAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12000000 | PA      | $12151662.00   | 0.01%             | 2030-04-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.64 08/15/2029                    | CUSIP: 89240JAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  135249000 | PA      | $136696732.35  | 0.13%             | 2029-08-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.76 05/15/2030                    | CUSIP: 89240JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   37322000 | PA      | $38062102.72   | 0.04%             | 2030-05-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                    | TC Energy Corp. 5.875 08/15/2076                                       | CUSIP: 89356BAB4<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  262724000 | PA      | $263045574.18  | 0.25%             | 2076-08-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                    | TC Energy Corp. 5.30 03/15/2077                                        | CUSIP: 89356BAC2<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  336202000 | PA      | $336175641.76  | 0.32%             | 2077-03-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                    | TC Energy Corp. 5.50 09/15/2079                                        | CUSIP: 89356BAE8<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  209285000 | PA      | $207711197.73  | 0.20%             | 2079-09-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                    | TC Energy Corp. 5.60 03/07/2082                                        | CUSIP: 89356BAG3<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |   41226000 | PA      | $40717873.06   | 0.04%             | 2082-03-07      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 5.959 01/12/2034                                          | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  323212000 | PA      | $344447073.65  | 0.33%             | 2034-01-12      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 5.617 09/13/2030                                          | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   96410000 | PA      | $100655195.50  | 0.10%             | 2030-09-13      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 5.58 05/09/2036                                           | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   96675000 | PA      | $100527236.76  | 0.10%             | 2036-05-09      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Unum Group                                         | Unum Group 6.75 12/15/2028                                             | CUSIP: 903192AA0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    7967000 | PA      | $8460027.92    | 0.01%             | 2028-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Ultrapar Participacoes SA                          | Ultrapar Participacoes SA 5.25 10/06/2026                              | CUSIP: 90401CAA7<br>LEI: 222100CXHWBP3H3SK244 | Long             | DBT              | CORP              | LU        |  151090000 | PA      | $150923121.10  | 0.14%             | 2026-10-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Ultrapar Participacoes SA                          | Ultrapar Participacoes SA 5.25 06/06/2029                              | CUSIP: 90401CAC3<br>LEI: 222100CXHWBP3H3SK244 | Long             | DBT              | CORP              | LU        |   50542000 | PA      | $50436079.13   | 0.05%             | 2029-06-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UniCredit SPA                                      | UniCredit SPA 7.296 04/02/2034                                         | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  364731400 | PA      | $391077397.01  | 0.37%             | 2034-04-02      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| UniCredit SPA                                      | UniCredit SPA 5.459 06/30/2035                                         | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  267361000 | PA      | $272524874.52  | 0.26%             | 2035-06-30      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                | Union Pacific Corp. 5.082 01/02/2029                                   | CUSIP: 90783VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     291527 | PA      | $295568.23     | 0.00%             | 2029-01-02      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                | Union Pacific Corp. 5.866 07/02/2030                                   | CUSIP: 90783WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1570909 | PA      | $1634184.02    | 0.00%             | 2030-07-02      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                | Union Pacific Corp. 6.176 01/02/2031                                   | CUSIP: 90783XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7688248 | PA      | $8121574.51    | 0.01%             | 2031-01-02      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Dept. of Veterans Affairs                          | Dept. of Veterans Affairs 7.50 06/01/2027                              | CUSIP: 911760KT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     551608 | PA      | $559728.94     | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 2.875 05/15/2052                               | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1074945000 | PA      | $751117818.75  | 0.72%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.00 08/15/2052                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  430333000 | PA      | $308209202.44  | 0.30%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.375 08/15/2042                               | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  815840000 | PA      | $689384800.00  | 0.66%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.00 11/15/2052                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  617515000 | PA      | $535477168.93  | 0.51%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.00 11/15/2042                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  148200000 | PA      | $135834562.50  | 0.13%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Inflation Indexed                    | U.S. Treasury Inflation Indexed 1.50 02/15/2053                        | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  450480729 | PA      | $351112405.78  | 0.34%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.125 08/15/2053                               | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 2102776000 | PA      | $1861449608.64 | 1.78%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.75 11/15/2053                                | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  297025000 | PA      | $291583409.92  | 0.28%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.25 02/15/2054                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   99010000 | PA      | $89511228.13   | 0.09%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Inflation Indexed                    | U.S. Treasury Inflation Indexed 2.125 02/15/2054                       | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  121212721 | PA      | $108871103.57  | 0.10%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.50 02/15/2044                                | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  816805000 | PA      | $790195028.69  | 0.76%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.125 08/15/2044                               | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1041830000 | PA      | $956163903.00  | 0.92%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.50 11/15/2054                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   99640000 | PA      | $93980758.88   | 0.09%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.625 11/15/2044                               | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1634236000 | PA      | $1601423613.48 | 1.54%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Inflation Indexed                    | U.S. Treasury Inflation Indexed 2.375 02/15/2055                       | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  192542529 | PA      | $182644457.04  | 0.18%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.75 05/15/2055                                | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  224190000 | PA      | $220301704.69  | 0.21%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.875 08/15/2045                               | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  199280000 | PA      | $201210525.00  | 0.19%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.75 12/31/2030                                | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1293075000 | PA      | $1293731636.42 | 1.24%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.00 01/31/2031                                | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73780000 | PA      | $74630199.40   | 0.07%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.625 04/30/2031                               | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  643545000 | PA      | $669864986.57  | 0.64%             | 2031-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.25 06/30/2031                                | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  495035000 | PA      | $506250636.72  | 0.49%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.125 07/31/2031                               | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  247515000 | PA      | $251537118.75  | 0.24%             | 2031-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.875 08/15/2034                               | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1386100000 | PA      | $1364767061.62 | 1.31%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.00 06/30/2032                                | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  398565000 | PA      | $400853635.96  | 0.38%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.00 07/31/2032                                | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  124550000 | PA      | $125201942.03  | 0.12%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.375 09/15/2028                               | CUSIP: 91282CNY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  116084000 | PA      | $115607874.51  | 0.11%             | 2028-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.625 10/31/2030                               | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  375000000 | PA      | $373417968.75  | 0.36%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                       | Verizon Communications, Inc. 1.75 01/20/2031                           | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   13805000 | PA      | $12151654.11   | 0.01%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                       | Verizon Communications, Inc. 2.55 03/21/2031                           | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  136442000 | PA      | $124597942.07  | 0.12%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                       | Verizon Communications, Inc. 4.75 01/15/2033                           | CUSIP: 92343VHF4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   50980000 | PA      | $50940078.58   | 0.05%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                       | VMware, Inc. 1.40 08/15/2026                                           | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   87063000 | PA      | $85776603.26   | 0.08%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                 | Vodafone Group PLC 7.00 04/04/2079                                     | CUSIP: 92857WBQ2<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |  241770000 | PA      | $256109954.11  | 0.25%             | 2079-04-04      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 4.50 08/20/2029                    | CUSIP: 92868MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43880000 | PA      | $44335667.47   | 0.04%             | 2029-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 4.61 07/21/2031                    | CUSIP: 92868MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   45720000 | PA      | $46433245.72   | 0.04%             | 2031-07-21      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 4.63 07/20/2029                    | CUSIP: 92868RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  104325000 | PA      | $105617868.43  | 0.10%             | 2029-07-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 4.67 06/20/2031                    | CUSIP: 92868RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14000000 | PA      | $14266585.20   | 0.01%             | 2031-06-20      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 3.92 03/20/2030                    | CUSIP: 92869QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20603000 | PA      | $20653821.42   | 0.02%             | 2030-03-20      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 4.05 09/20/2032                    | CUSIP: 92869QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32180000 | PA      | $32236948.95   | 0.03%             | 2032-09-20      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Bank of America                                    | BOFA SECURITIES, INC. REPO 3.8 20260102 UST                            | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | US        |  125000000 | PA      | $125000000.00  | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                             | STANDARD CHARTERED SECURITIES NORTH AMERICA LLC REPO 3.81 20260102 UST | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | Long             | RA               | CORP              | GB        |  125000000 | PA      | $125000000.00  | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.10 06/03/2026                                      | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  127335000 | PA      | $127346779.76  | 0.12%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.30 07/22/2027                                      | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  155940000 | PA      | $156547835.41  | 0.15%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 2.879 10/30/2030                                     | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   46110000 | PA      | $43864119.77   | 0.04%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 2.572 02/11/2031                                     | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   43185000 | PA      | $40334122.79   | 0.04%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 2.393 06/02/2028                                     | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   36870000 | PA      | $36025454.31   | 0.03%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 3.35 03/02/2033                                      | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   17014000 | PA      | $15879792.83   | 0.02%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.808 07/25/2028                                     | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6925000 | PA      | $7002540.96    | 0.01%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.897 07/25/2033                                     | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  103869000 | PA      | $105484665.68  | 0.10%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 5.389 04/24/2034                                     | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   83170000 | PA      | $86532741.08   | 0.08%             | 2034-04-24      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 5.198 01/23/2030                                     | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  128555000 | PA      | $132392352.61  | 0.13%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 5.707 04/22/2028                                     | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  116790000 | PA      | $119207393.00  | 0.11%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.90 01/24/2028                                      | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  110392000 | PA      | $111321319.60  | 0.11%             | 2028-01-24      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                | US 10YR NOTE (CBT)Mar26                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      45389 | NC      | $-27608625.81  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                | US ULTRA BOND CBT Mar26                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      27716 | NC      | $-47288714.80  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Fixed Income Clearing Corporation                  | FIXED INC CLEARING CORP.REPO                                           | CUSIP: N/A<br>LEI: 549300H47WTHXPU08X20       | Long             | RA               | CORP              | US        |  365000000 | PA      | $365000000.00  | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

**Name of Applicant:** Dodge & Cox Funds

**Signature:** Shelly Chu

**Name of Signer:** Shelly Chu

**Title:** Treasurer