# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0002071691-26-004692
**Filing Date:** 2026-2
**Character Count:** 309795
**Document Hash:** 38c4e2b0b107bb5ea1f43327ee879f80
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-004692.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0002071691-26-004692

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340

**ORGANIZATION NAME:**
- **EIN:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 26682355

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 2125767000

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **DATE OF NAME CHANGE:** 20110429

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010518

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEW YORK LIFE MFA SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### NYLI VP Janus Henderson Balanced Portfolio (Series ID: S000033928)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000104627 | Initial Class |  |
| C000104628 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

- **b. Investment Company Act file number:** 811-03833-01

- **c. CIK number of Registrant:** 0000887340

- **d. LEI of Registrant:** 549300AG6K4RXYNOVN04

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 212-576-7000

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

- **a. Name of Series:** NYLI VP Janus Henderson Balanced Portfolio

- **b. EDGAR series identifier (if any):** S000033928

- **c. LEI of Series:** 549300IH1BE6KCPK8R42

**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:** $2051942967.78

**Total Liabilities:** $36614002.98

**Net Assets:** $2015328964.80

**Cash Not Reported:** $9002856.13

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -407.38000000 | **1-Year:** -7313.50000000 | **5-Year:** -37426.08000000 | **10-Year:** -119135.42000000 | **30-Year:** -95269.13000000

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

- **3-Month:** -150.89000000 | **1-Year:** -5063.02000000 | **5-Year:** -43209.90000000 | **10-Year:** -21422.73000000 | **30-Year:** -36864.23000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000104627 | 1.62%                | 0.28%                | -0.17%               |
| Class ID C000104628 | 1.60%                | 0.26%                | -0.19%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $18034208.85             | $11030141.98                               |
| Month 2  | $856827.49               | $1413690.83                                |
| Month 3  | $18672988.42             | $-24340754.93                              |

**Designated Index Information**

- **Index Name:** Janus Balanced Composite Index

- **Index Identifier:** BCJB

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A&D Mortgage Trust                                   | A&D Mortgage Trust, Series 2024-NQM5, Class A1                             | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |    992185 | PA      | $998786.75    | 0.05%             | 2069-11-25      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Abbott Laboratories                                  | Abbott Laboratories                                                        | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |    129694 | NS      | $16249361.26  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie, Inc.                                         | AbbVie, Inc.                                                               | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     69631 | NS      | $15909987.19  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| A&D Mortgage Trust                                   | A&D Mortgage Trust, Series 2025-NQM4, Class A1                             | CUSIP: 002941AA0<br>LEI: 9845006Y6D399D9E8O78 | Long             | ABS-MBS          | CORP              | US        |    589172 | PA      | $590673.50    | 0.03%             | 2070-10-25      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Adobe, Inc.                                          | Adobe, Inc.                                                                | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |     24988 | NS      | $8745550.12   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| AGL CLO 26 Ltd.                                      | AGL CLO 26 Ltd., Series 2023-26A, Class A1R                                | CUSIP: 00852HAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2750000 | PA      | $2757361.75   | 0.14%             | 2038-10-21      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| ALA Trust                                            | ALA Trust, Series 2025-OANA, Class A                                       | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2780000 | PA      | $2790420.00   | 0.14%             | 2040-06-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                | Albertsons Cos., Inc.                                                      | CUSIP: 01309QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    871000 | PA      | $889653.20    | 0.04%             | 2028-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                               | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7056000 | PA      | $5963973.79   | 0.30%             | 2056-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                               | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    128000 | PA      | $113195.00    | 0.01%             | 2056-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                               | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    403867 | PA      | $372078.25    | 0.02%             | 2056-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6539000 | PA      | $6520609.06   | 0.32%             | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                               | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7631000 | PA      | $7737701.14   | 0.38%             | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                 | Alpha Generation LLC                                                       | CUSIP: 02073LAC5<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |   1980000 | PA      | $1997774.46   | 0.10%             | 2034-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Alphabet, Inc.                                       | Alphabet, Inc., Class C                                                    | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    267662 | NS      | $83992335.60  | 4.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com, Inc.                                     | Amazon.com, Inc.                                                           | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    267985 | NS      | $61856297.70  | 3.07%             |  |  |  | No            |                  1 | On Loan: No      |
| American Electric Power Co., Inc.                    | American Electric Power Co., Inc., Series C                                | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    758000 | PA      | $752512.41    | 0.04%             | 2056-03-15      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                    | American Electric Power Co., Inc., Series D                                | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    606000 | PA      | $595413.15    | 0.03%             | 2056-03-15      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                       | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |     76415 | NS      | $28269729.25  | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Amgen, Inc.                                          | Amgen, Inc.                                                                | CUSIP: 031162100<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | EC               | CORP              | US        |     30607 | NS      | $10017977.17  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Amphenol Corp.                                       | Amphenol Corp., Class A                                                    | CUSIP: 032095101<br>LEI: 549300D3L3G0R4U4VT04 | Long             | EC               | CORP              | US        |    137070 | NS      | $18523639.80  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2019-5, Class A1                          | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21165 | PA      | $20957.51     | 0.00%             | 2049-10-25      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2019-6, Class A1                          | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208205 | PA      | $206269.12    | 0.01%             | 2059-11-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2020-3, Class A2                          | CUSIP: 03465LAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98103 | PA      | $94592.75     | 0.00%             | 2065-04-25      | Variable      | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2024-5, Class A1                          | CUSIP: 03465YAA5<br>LEI: 25490045FDNHIWZ12934 | Long             | ABS-MBS          | CORP              | US        |   1421997 | PA      | $1423518.20   | 0.07%             | 2068-07-25      | Variable      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2025-6, Class A1                          | CUSIP: 034937AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150130 | PA      | $1160213.55   | 0.06%             | 2070-04-25      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Ansley Park Capital LLC                              | Ansley Park Capital LLC, Series 2025-A, Class A2                           | CUSIP: 03637AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    839000 | PA      | $841629.68    | 0.04%             | 2035-04-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Aon North America, Inc.                              | Aon North America, Inc.                                                    | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3199000 | PA      | $3324450.70   | 0.16%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                          | Apple, Inc.                                                                | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    211062 | NS      | $57379315.32  | 2.85%             |  |  |  | No            |                  1 | On Loan: No      |
| AppLovin Corp.                                       | AppLovin Corp.                                                             | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1327321.48   | 0.07%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AppLovin Corp.                                       | AppLovin Corp.                                                             | CUSIP: 03831WAD0<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   1513000 | PA      | $1554534.42   | 0.08%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2021-A, Class A                                 | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100194 | PA      | $92181.42     | 0.00%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Asurion LLC and Asurion Co-Issuer, Inc.              | Asurion LLC and Asurion Co-Issuer, Inc.                                    | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1152000 | PA      | $1195328.36   | 0.06%             | 2032-12-31      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                | Athene Global Funding                                                      | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1063000 | PA      | $940001.31    | 0.05%             | 2031-10-04      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Atlas Warehouse Lending Co. LP                       | Atlas Warehouse Lending Co. LP                                             | CUSIP: 049463AF9<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |    439000 | PA      | $440647.57    | 0.02%             | 2028-11-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Atlas Warehouse Lending Co. LP                       | Atlas Warehouse Lending Co. LP                                             | CUSIP: 049463AG7<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |    682000 | PA      | $684266.53    | 0.03%             | 2030-11-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                 | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class E                            | CUSIP: 05493UAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438000 | PA      | $371215.95    | 0.02%             | 2050-07-27      | Variable      | 1.27%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                 | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class E                            | CUSIP: 05493VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143000 | PA      | $142251.01    | 0.01%             | 2048-11-27      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                 | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class F                            | CUSIP: 05493VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280887 | PA      | $279213.86    | 0.01%             | 2048-11-27      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                 | BAMLL Re-REMIC Trust, Series 2024-FRR3, Class E                            | CUSIP: 054988AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589014 | PA      | $538608.30    | 0.03%             | 2050-01-27      | Variable      | 0.49%                 | Yes           |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                        | BLP Commercial Mortgage Trust, Series 2025-IND2, Class A                   | CUSIP: 05556WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117000 | PA      | $1118038.14   | 0.06%             | 2042-12-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                            | BPR Trust, Series 2024-PMDW, Class A                                       | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2248107 | PA      | $2300331.87   | 0.11%             | 2041-11-05      | Variable      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                            | BPR Trust, Series 2024-PMDW, Class D                                       | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726000 | PA      | $724195.31    | 0.04%             | 2041-11-05      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-ROIC, Class A                                        | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2161570 | PA      | $2158869.10   | 0.11%             | 2030-03-15      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-ROIC, Class B                                        | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    473155 | PA      | $471380.86    | 0.02%             | 2030-03-15      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2019-OC11, Class B                                        | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204000 | PA      | $195201.07    | 0.01%             | 2041-12-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2019-OC11, Class C                                        | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564000 | PA      | $540065.48    | 0.03%             | 2041-12-09      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                            | BXP Trust, Series 2017-GM, Class A                                         | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396000 | PA      | $388822.98    | 0.02%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2021-LBA, Class AV                                        | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    887289 | PA      | $886567.63    | 0.04%             | 2036-02-15      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2021-LBA, Class AJV                                       | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1118000 | PA      | $1116627.54   | 0.06%             | 2036-02-15      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                          | BXHPP Trust, Series 2021-FILM, Class A                                     | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $400596.93    | 0.02%             | 2036-08-15      | Floating      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                            | BPR Trust, Series 2023-BRK2, Class A                                       | CUSIP: 05610WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1329000 | PA      | $1386999.95   | 0.07%             | 2038-10-05      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2024-VLT4, Class A                                        | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1621595 | PA      | $1621087.44   | 0.08%             | 2041-06-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                    | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1970347 | PA      | $1980104.36   | 0.10%             | 2041-10-15      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-AIR2, Class A                    | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1718851 | PA      | $1720987.69   | 0.09%             | 2041-10-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-DIME, Class A                                        | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1685000 | PA      | $1680790.36   | 0.08%             | 2035-02-15      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-VLT5, Class A                    | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2278167.30   | 0.11%             | 2046-11-13      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-VLT5, Class B                    | CUSIP: 05614JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523000 | PA      | $531352.89    | 0.03%             | 2046-11-13      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-VLT5, Class C                    | CUSIP: 05614JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278000 | PA      | $283748.54    | 0.01%             | 2046-11-13      | Variable      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-ARIA, Class A                                        | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2191000 | PA      | $2210861.42   | 0.11%             | 2042-12-13      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                        | BLP Commercial Mortgage Trust, Series 2025-IND, Class A                    | CUSIP: 05625BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1663747 | PA      | $1656474.70   | 0.08%             | 2042-03-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                         | Bain Capital Credit CLO Ltd., Series 2023-3A, Class A1R                    | CUSIP: 05682CAL1<br>LEI: 254900QJNS3TYDIDQH27 | Long             | ABS-CBDO         | CORP              | JE        |   1594000 | PA      | $1597736.34   | 0.08%             | 2038-10-24      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock CLO 14 Ltd.                                | Ballyrock CLO 14 Ltd., Series 2020-14A, Class A1BR                         | CUSIP: 05874XAN9<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |    345453 | PA      | $345606.04    | 0.02%             | 2037-07-20      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                      | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1432000 | PA      | $1528164.26   | 0.08%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp., Series FIX                                          | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3202000 | PA      | $3305598.47   | 0.16%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                      | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5301000 | PA      | $5523630.39   | 0.27%             | 2036-02-12      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Barings Loan Partners CLO Ltd. 5                     | Barings Loan Partners CLO Ltd. 5, Series LP-5A, Class A                    | CUSIP: 06764CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1656624 | PA      | $1656915.57   | 0.08%             | 2035-01-20      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust            | Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class AF         | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    738577 | PA      | $684815.97    | 0.03%             | 2051-11-25      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust            | Bayview MSR Opportunity Master Fund Trust, Series 2022-2, Class A1         | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    564628 | PA      | $492703.94    | 0.02%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC              | Bayview Opportunity Master Fund VII LLC, Series 2025-EDU1, Class B         | CUSIP: 07337GAB9<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |    450130 | PA      | $450128.85    | 0.02%             | 2048-07-27      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO XV Ltd.                  | Benefit Street Partners CLO XV Ltd., Series 2018-15A, Class A1R            | CUSIP: 08179MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2435000 | PA      | $2441221.43   | 0.12%             | 2037-07-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO 43 Ltd.                  | Benefit Street Partners CLO 43 Ltd., Series 2025-43A, Class A              | CUSIP: 08179QAA8<br>LEI: 254900TPMKEES6UQHQ33 | Long             | ABS-CBDO         | CORP              | KY        |   2229000 | PA      | $2232631.04   | 0.11%             | 2038-10-20      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                       | Blackstone Private Credit Fund                                             | CUSIP: 09261HBC0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    947000 | PA      | $1004509.97   | 0.05%             | 2028-11-27      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Booking Holdings, Inc.                               | Booking Holdings, Inc.                                                     | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |      3850 | NS      | $20618020.50  | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Booz Allen Hamilton, Inc.                            | Booz Allen Hamilton, Inc.                                                  | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   1413000 | PA      | $1471966.76   | 0.07%             | 2033-08-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Booz Allen Hamilton, Inc.                            | Booz Allen Hamilton, Inc.                                                  | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   2394000 | PA      | $2480389.91   | 0.12%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Broadcom, Inc.                                       | Broadcom, Inc.                                                             | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |    140972 | NS      | $48790409.20  | 2.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Brown & Brown, Inc.                                  | Brown & Brown, Inc.                                                        | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    438000 | PA      | $444057.34    | 0.02%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                  | Brown & Brown, Inc.                                                        | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    192000 | PA      | $196345.04    | 0.01%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-GPA3, Class A                    | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930018 | PA      | $930017.19    | 0.05%             | 2039-12-15      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-GPA3, Class B                    | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642930 | PA      | $644323.24    | 0.03%             | 2039-12-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-VLT7, Class A                                        | CUSIP: 123913AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3422000 | PA      | $3427303.42   | 0.17%             | 2044-07-15      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-AIRC, Class C                    | CUSIP: 12433CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    709636 | PA      | $714910.84    | 0.04%             | 2041-08-15      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2025-SPOT, Class A                    | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792405 | PA      | $792900.14    | 0.04%             | 2040-04-15      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-GW, Class A                                          | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1618000 | PA      | $1621031.81   | 0.08%             | 2042-07-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| CBAM Ltd.                                            | CBAM Ltd., Series 2018-5A, Class A1R                                       | CUSIP: 12516LAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | KY        |   1090000 | PA      | $1091194.64   | 0.05%             | 2038-10-17      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                           | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    605013 | PA      | $509049.44    | 0.03%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2020-1, Class B1                           | CUSIP: 12530MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89945 | PA      | $56078.62     | 0.00%             | 2060-07-15      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2021-1A, Class A1                          | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    940640 | PA      | $759302.61    | 0.04%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2021-1A, Class B1                          | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360015 | PA      | $219143.74    | 0.01%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2022-1A, Class A1                          | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1023568 | PA      | $1006893.49   | 0.05%             | 2062-08-15      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2022-1A, Class A2                          | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2865903 | PA      | $2781960.07   | 0.14%             | 2062-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| CME Group, Inc.                                      | CME Group, Inc.                                                            | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |     50478 | NS      | $13784532.24  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| COOPR Residential Mortgage Trust                     | COOPR Residential Mortgage Trust, Series 2025-CES4, Class A1A              | CUSIP: 12636SAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401227 | PA      | $401948.77    | 0.02%             | 2060-11-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                           | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2247000 | PA      | $2120969.50   | 0.11%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                           | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    192000 | PA      | $197679.53    | 0.01%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                           | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    991000 | PA      | $1038485.40   | 0.05%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                           | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    580000 | PA      | $591988.97    | 0.03%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                           | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1031000 | PA      | $1055342.32   | 0.05%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                           | CUSIP: 126650EL0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    597000 | PA      | $606158.48    | 0.03%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust                     | COOPR Residential Mortgage Trust, Series 2025-CES2, Class A1A              | CUSIP: 12674UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406330 | PA      | $409832.22    | 0.02%             | 2060-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CACI International, Inc.                             | CACI International, Inc.                                                   | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |    592000 | PA      | $612529.78    | 0.03%             | 2033-06-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                         | Cadence Design Systems, Inc.                                               | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |     29468 | NS      | $9211107.44   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1188000 | PA      | $1342613.29   | 0.07%             | 2031-10-30      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                | CUSIP: 14040HDH5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1876000 | PA      | $1974501.50   | 0.10%             | 2035-07-26      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1268317.65   | 0.06%             | 2036-01-30      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Carlyle U.S. CLO Ltd.                                | Carlyle U.S. CLO Ltd., Series 2018-4A, Class A2R                           | CUSIP: 14315RAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2203000 | PA      | $2207353.13   | 0.11%             | 2037-10-17      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| CARLYLE US CLO Ltd.                                  | Carlyle US CLO Ltd., Series 2023-2A, Class A1R                             | CUSIP: 14318GAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2448000 | PA      | $2455192.22   | 0.12%             | 2038-07-20      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corp.                                       | Carnival Corp.                                                             | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1448000 | PA      | $1486054.86   | 0.07%             | 2032-08-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Centene Corp.                                        | Centene Corp.                                                              | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3778000 | PA      | $3755756.53   | 0.19%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                 | Charter Communications Operating LLC                                       | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1627565.36   | 0.08%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                | Cheniere Energy, Inc.                                                      | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |   1344000 | PA      | $1394238.69   | 0.07%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Chevron Corp.                                        | Chevron Corp.                                                              | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     95036 | NS      | $14484436.76  | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| CIFC Funding 2019-VII Ltd.                           | CIFC Funding Ltd., Series 2019-7A, Class A1R                               | CUSIP: 171935AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1810000 | PA      | $1815068.00   | 0.09%             | 2038-10-19      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                            | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2697000 | PA      | $2691855.98   | 0.13%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                            | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3543000 | PA      | $3681918.69   | 0.18%             | 2035-02-13      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                            | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    682000 | PA      | $684110.64    | 0.03%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                            | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    587000 | PA      | $592486.88    | 0.03%             | 2036-09-11      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                            | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    962000 | PA      | $977653.46    | 0.05%             | 2031-02-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                        | Citigroup Mortgage Loan Trust, Series 2025-LTV1, Class A1                  | CUSIP: 17332XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1614000 | PA      | $1616238.78   | 0.08%             | 2055-12-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Civitas Resources, Inc.                              | Civitas Resources, Inc.                                                    | CUSIP: 17888HAB9<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    705000 | PA      | $731367.89    | 0.04%             | 2031-07-01      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Civitas Resources, Inc.                              | Civitas Resources, Inc.                                                    | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    380000 | PA      | $398262.80    | 0.02%             | 2030-11-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Civitas Resources, Inc.                              | Civitas Resources, Inc.                                                    | CUSIP: 17888HAD5<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |   1366000 | PA      | $1474758.45   | 0.07%             | 2033-06-15      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Coinbase Global, Inc.                                | Coinbase Global, Inc., Class A                                             | CUSIP: 19260Q107<br>LEI: 5493004G3J2SC154DU06 | Long             | EC               | CORP              | US        |      5183 | NS      | $1172083.62   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                 | Columbia Pipelines Operating Co. LLC                                       | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    799000 | PA      | $855295.56    | 0.04%             | 2033-11-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                 | Columbia Pipelines Operating Co. LLC                                       | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    833000 | PA      | $886990.37    | 0.04%             | 2053-11-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                 | Columbia Pipelines Operating Co. LLC                                       | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    161000 | PA      | $170081.28    | 0.01%             | 2043-08-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC                    | Compass Datacenters Issuer II LLC, Series 2024-2A, Class A1                | CUSIP: 20469AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259000 | PA      | $259503.06    | 0.01%             | 2049-08-25      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                   | Compass Datacenters Issuer III LLC, Series 2025-1A, Class A2               | CUSIP: 20469BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1439000 | PA      | $1455592.10   | 0.07%             | 2050-02-25      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                   | Compass Datacenters Issuer III LLC, Series 2025-2A, Class A2               | CUSIP: 20469BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    896000 | PA      | $909356.85    | 0.05%             | 2050-02-25      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC                    | Compass Datacenters Issuer II LLC, Series 2025-1A, Class A1                | CUSIP: 20469CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4342000 | PA      | $4381052.38   | 0.22%             | 2050-05-25      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| CONE Trust                                           | CONE Trust, Series 2024-DFW1, Class A                                      | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117000 | PA      | $1115258.93   | 0.06%             | 2041-08-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| CONE Trust                                           | CONE Trust, Series 2024-DFW1, Class B                                      | CUSIP: 20682AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    821377 | PA      | $821237.69    | 0.04%             | 2041-08-15      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M1            | CUSIP: 20753BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139059 | PA      | $139715.55    | 0.01%             | 2043-09-25      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2M1            | CUSIP: 20753CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    641414 | PA      | $642248.52    | 0.03%             | 2045-07-25      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2024-R04, Class 1M1            | CUSIP: 20753GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211937 | PA      | $211805.27    | 0.01%             | 2044-05-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M1            | CUSIP: 20753UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309663 | PA      | $309275.48    | 0.02%             | 2044-01-25      | Floating      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2            | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569187 | PA      | $572305.92    | 0.03%             | 2041-12-25      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2            | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    706000 | PA      | $718727.13    | 0.04%             | 2042-01-25      | Floating      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2M1            | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96289 | PA      | $96409.47     | 0.00%             | 2042-04-25      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2M2            | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    521000 | PA      | $532505.14    | 0.03%             | 2042-04-25      | Floating      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1            | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336445 | PA      | $337765.32    | 0.02%             | 2043-07-25      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B1            | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $815047.12    | 0.04%             | 2041-12-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2023-R04, Class 1M1            | CUSIP: 20754QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542137 | PA      | $552331.38    | 0.03%             | 2043-05-25      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1M1            | CUSIP: 20754TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350400 | PA      | $350889.67    | 0.02%             | 2045-02-25      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1            | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89829 | PA      | $89773.36     | 0.00%             | 2044-07-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2023-R08, Class 1M1            | CUSIP: 20755CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280460 | PA      | $280932.34    | 0.01%             | 2043-10-25      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1            | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202653 | PA      | $202712.51    | 0.01%             | 2045-01-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M1            | CUSIP: 207941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193680 | PA      | $193805.12    | 0.01%             | 2044-03-25      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Constellation Software, Inc.                         | Constellation Software, Inc.                                               | CUSIP: 21037XAC4<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |    391000 | PA      | $398452.99    | 0.02%             | 2029-02-16      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Constellation Software, Inc.                         | Constellation Software, Inc.                                               | CUSIP: 21037XAD2<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |   1136000 | PA      | $1144279.92   | 0.06%             | 2034-02-16      | Fixed         | 5.46%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust                     | COOPR Residential Mortgage Trust, Series 2025-CES3, Class A1A              | CUSIP: 216926AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957746 | PA      | $955136.26    | 0.05%             | 2060-09-25      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| CoreWeave, Inc.                                      | CoreWeave, Inc.                                                            | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |   1637000 | PA      | $1522037.75   | 0.08%             | 2030-06-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| CoreWeave, Inc.                                      | CoreWeave, Inc.                                                            | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    658000 | PA      | $603070.16    | 0.03%             | 2031-02-01      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: —       |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5291214 | PA      | $4563258.73   | 0.23%             | 2056-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3120650 | PA      | $2947429.55   | 0.15%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1144836 | PA      | $1142130.10   | 0.06%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Costco Wholesale Corp.                               | Costco Wholesale Corp.                                                     | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |     10976 | NS      | $9465043.84   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| CP EF Asset Securitization II LLC                    | CP EF Asset Securitization II LLC, Series 2023-1A, Class A                 | CUSIP: 224092AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116855 | PA      | $117724.57    | 0.01%             | 2032-03-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Croton Park CLO Ltd.                                 | Croton Park CLO Ltd.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | KY        |   1080000 | PA      | $1080965.52   | 0.05%             | 2036-10-15      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                   | CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class B                | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285484 | PA      | $281413.01    | 0.01%             | 2048-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                   | CyrusOne Data Centers Issuer I LLC, Series 2024-1A, Class A2               | CUSIP: 23284BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618025 | PA      | $608899.49    | 0.03%             | 2049-03-22      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                   | CyrusOne Data Centers Issuer I LLC, Series 2024-2A, Class A2               | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227000 | PA      | $221536.13    | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                   | CyrusOne Data Centers Issuer I LLC, Series 2024-3A, Class A2               | CUSIP: 23284BAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2171000 | PA      | $2083205.19   | 0.10%             | 2049-05-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| DB Master Finance LLC                                | DB Master Finance LLC, Series 2017-1A, Class A2II                          | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    369922 | PA      | $367459.56    | 0.02%             | 2047-11-20      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| DB Master Finance LLC                                | DB Master Finance LLC, Series 2021-1A, Class A2II                          | CUSIP: 233046AQ4<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    268800 | PA      | $254384.58    | 0.01%             | 2051-11-20      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                   | DT Midstream, Inc.                                                         | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1766402.23   | 0.09%             | 2029-06-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                   | DT Midstream, Inc.                                                         | CUSIP: 23345MAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2820000 | PA      | $2760897.03   | 0.14%             | 2031-06-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                   | DT Midstream, Inc.                                                         | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    468000 | PA      | $452065.62    | 0.02%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Danaher Corp.                                        | Danaher Corp.                                                              | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |     59099 | NS      | $13528943.08  | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| DATA Mortgage Trust                                  | DATA Mortgage Trust, Series 2024-CTR2, Class A                             | CUSIP: 238020AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445544 | PA      | $446742.25    | 0.02%             | 2046-05-10      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Deere & Co.                                          | Deere & Co.                                                                | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |     18190 | NS      | $8468718.30   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Dell Technologies, Inc.                              | Dell Technologies, Inc., Class C                                           | CUSIP: 24703L202<br>LEI: 549300TJB5YBRUPOG437 | Long             | EC               | CORP              | US        |     45369 | NS      | $5711049.72   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Diamond Infrastructure Funding LLC                   | Diamond Infrastructure Funding LLC, Series 2021-1A, Class A                | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1031000 | PA      | $1002003.64   | 0.05%             | 2049-04-15      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                | Walt Disney Co. (The)                                                      | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |    176197 | NS      | $20045932.69  | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    837000 | PA      | $986819.41    | 0.05%             | 2034-11-02      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                    | Duke Energy Corp.                                                          | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2305000 | PA      | $2400179.47   | 0.12%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| EFMT                                                 | EFMT, Series 2025-RTL1, Class A1                                           | CUSIP: 26846FAA7<br>LEI: 254900NFBGFOBK1G2B84 | Long             | ABS-MBS          | CORP              | US        |    771000 | PA      | $772738.84    | 0.04%             | 2040-11-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Ecolab, Inc.                                         | Ecolab, Inc.                                                               | CUSIP: 278865100<br>LEI: 82DYEISM090VG8LTLS26 | Long             | EC               | CORP              | US        |     24065 | NS      | $6317543.80   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Elmwood CLO X Ltd.                                   | Elmwood CLO X Ltd., Series 2021-3A, Class AR2                              | CUSIP: 29002VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1636000 | PA      | $1642468.74   | 0.08%             | 2038-07-20      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Emerson Electric Co.                                 | Emerson Electric Co.                                                       | CUSIP: 291011104<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | EC               | CORP              | US        |     17860 | NS      | $2370379.20   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Exelon Corp.                                         | Exelon Corp.                                                               | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1164484.89   | 0.06%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                 | Meta Platforms, Inc., Class A                                              | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |     61713 | NS      | $40736134.17  | 2.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, REMIC, Series 2023-K511, Class C                     | CUSIP: 30334FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $329441.91    | 0.02%             | 2028-11-25      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88715 | PA      | $86642.23     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33581 | PA      | $32783.75     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54498 | PA      | $53176.49     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67897 | PA      | $64102.97     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3131Y04D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1536 | PA      | $1482.94      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134046 | PA      | $130091.00    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123517 | PA      | $116325.90    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3131Y0QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96571 | PA      | $95445.57     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3131Y0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71495 | PA      | $69507.69     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3131Y1D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282559 | PA      | $273072.59    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7952 | PA      | $8079.97      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124697 | PA      | $124211.64    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23362 | PA      | $23203.97     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221028 | PA      | $233742.92    | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330363 | PA      | $324548.73    | 0.02%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    524931 | PA      | $496600.27    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                    | CUSIP: 3132ADHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217754 | PA      | $217488.02    | 0.01%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24655 | PA      | $23810.41     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18432 | PA      | $17840.49     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3132CW6B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1237093 | PA      | $1178428.49   | 0.06%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429484 | PA      | $415776.12    | 0.02%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85864 | PA      | $81962.19     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DMXR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2266772 | PA      | $1948022.14   | 0.10%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DNA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1601433 | PA      | $1375442.79   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149026 | PA      | $139975.76    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DNEN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62698 | PA      | $56605.73     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DNH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321432 | PA      | $302826.92    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DNHN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    965198 | PA      | $835882.77    | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    849532 | PA      | $843065.27    | 0.04%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298319 | PA      | $287734.71    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DPBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1327171 | PA      | $1178376.79   | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DQ3A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663377 | PA      | $572235.48    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DQGE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257335 | PA      | $264569.82    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DSFH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1302087 | PA      | $1348926.27   | 0.07%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DUYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1864778 | PA      | $1664028.28   | 0.08%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26005 | PA      | $25667.38     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    712572 | PA      | $615611.72    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621242 | PA      | $527987.38    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132E0N24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1979119 | PA      | $2079880.70   | 0.10%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132E0WG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    835266 | PA      | $890966.01    | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3132E0XX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341418 | PA      | $353763.26    | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                  | CUSIP: 3132Y2M37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81636 | PA      | $78908.66     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36990 | PA      | $32795.85     | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34924 | PA      | $31364.78     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2878 | PA      | $2687.24      | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133A73R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45871 | PA      | $39801.02     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133A9JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20599 | PA      | $17890.48     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133A9WN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89633 | PA      | $77972.74     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133AQP92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137941 | PA      | $117448.29    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B2LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125066 | PA      | $108460.43    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B3XQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200465 | PA      | $174179.91    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B42A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310715 | PA      | $267778.48    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157110 | PA      | $140119.27    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108200 | PA      | $97273.59     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B6F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51354 | PA      | $44258.25     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37495 | PA      | $35261.95     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153494 | PA      | $137996.48    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B7SA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10844 | PA      | $9325.35      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17082 | PA      | $16778.33     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164680 | PA      | $154552.53    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154086 | PA      | $144507.38    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48647 | PA      | $45308.57     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357752 | PA      | $367527.43    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21611 | PA      | $21760.96     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649187 | PA      | $655406.61    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BPV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22714 | PA      | $23298.56     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BUS65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34855 | PA      | $35084.01     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BVVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39898 | PA      | $40279.95     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BWKK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143241 | PA      | $144440.85    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133BX6G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137009 | PA      | $137653.49    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C1S76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159222 | PA      | $160588.30    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C2UD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323842 | PA      | $326945.69    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C2ZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20903 | PA      | $21534.77     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C37K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198429 | PA      | $200131.47    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C4EP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27967 | PA      | $28168.80     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C4K60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54589 | PA      | $55112.11     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C4KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69233 | PA      | $71326.49     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C5FR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40150 | PA      | $40157.94     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C5HS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77696 | PA      | $79032.14     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C5HT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136933 | PA      | $137101.51    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C5TL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109823 | PA      | $109657.60    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C5WW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128287 | PA      | $128180.56    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C7NJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331676 | PA      | $341705.97    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133C8HS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194310 | PA      | $200185.78    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56481 | PA      | $54724.92     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125200 | PA      | $121349.93    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                         | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124322 | PA      | $118567.31    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157326 | PA      | $155674.38    | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30292 | PA      | $29952.54     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159170 | PA      | $157368.58    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111349 | PA      | $110209.45    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    561109 | PA      | $480186.49    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133KMR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1860674 | PA      | $1603767.70   | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133KR5L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2649673 | PA      | $2758019.89   | 0.14%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                    | CUSIP: 3133SKBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324869 | PA      | $312011.97    | 0.02%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309331 | PA      | $298793.43    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3133W87L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223824 | PA      | $231275.04    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78543 | PA      | $70538.22     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-27, Class EA                                      | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401054 | PA      | $362835.72    | 0.02%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-71, Class P                                       | CUSIP: 3136B6B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587036 | PA      | $529914.95    | 0.03%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115014 | PA      | $115091.34    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138988 | PA      | $141389.71    | 0.01%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191712 | PA      | $191841.68    | 0.01%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3138EPS88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34246 | PA      | $32986.15     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39251 | PA      | $39506.13     | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 3138EQFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87651 | PA      | $87543.56     | 0.00%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 3138WQJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52911 | PA      | $48797.39     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784388 | PA      | $719625.57    | 0.04%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10504 | PA      | $9192.03      | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653108 | PA      | $573079.63    | 0.03%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 3140FXUY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2048679 | PA      | $1717405.41   | 0.09%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 3140FXVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3262093 | PA      | $2685999.66   | 0.13%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140GQDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20792 | PA      | $19745.63     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128113 | PA      | $120880.45    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294979 | PA      | $286677.11    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140H6CD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526314 | PA      | $510871.23    | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140H6W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25042 | PA      | $23802.23     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79613 | PA      | $80890.63     | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88837 | PA      | $86391.59     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140HGGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96684 | PA      | $83804.52     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140HGR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104704 | PA      | $103993.28    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15257 | PA      | $14521.93     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140J8K28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321344 | PA      | $292479.77    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 3140JB2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747213 | PA      | $717643.59    | 0.04%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140JGAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57745 | PA      | $57046.49     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40946 | PA      | $39537.43     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29768 | PA      | $27158.83     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                              | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38656 | PA      | $37516.08     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                              | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128610 | PA      | $122764.01    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                              | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12501 | PA      | $12164.79     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                              | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9741 | PA      | $9399.53      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140LQQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116087 | PA      | $100045.30    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140LW4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196715 | PA      | $198698.08    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MGDG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69111 | PA      | $61353.73     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MGJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38744 | PA      | $33535.87     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MGJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92709 | PA      | $79897.96     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575226 | PA      | $515744.13    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76586 | PA      | $71554.51     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507303 | PA      | $456006.55    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430711 | PA      | $386659.83    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218864 | PA      | $204065.23    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401307 | PA      | $375634.40    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MJWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88287 | PA      | $76149.50     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20371 | PA      | $19936.99     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25516 | PA      | $24996.32     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64104 | PA      | $62882.21     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49257 | PA      | $48566.79     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75759 | PA      | $71070.91     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137995 | PA      | $129166.64    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222408 | PA      | $208201.98    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21519 | PA      | $21136.79     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36247 | PA      | $35552.00     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99987 | PA      | $98069.95     | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392235 | PA      | $387292.45    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156160 | PA      | $157656.25    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349507 | PA      | $352855.75    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NAMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68768 | PA      | $69054.01     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NAT37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80588 | PA      | $81401.27     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NC6H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41570 | PA      | $41793.12     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NCWW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13112 | PA      | $13508.91     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NEL94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91951 | PA      | $92554.52     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NG2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7501 | PA      | $7727.41      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NG6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7057 | PA      | $7275.75      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NJD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50113 | PA      | $50442.57     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NJDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13738 | PA      | $14153.81     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NKCV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55195 | PA      | $55557.61     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NKTV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71434 | PA      | $71974.89     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NLXN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29770 | PA      | $30622.79     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NPCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79000 | PA      | $81389.36     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NPNG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59221 | PA      | $59744.18     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140NPYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40381 | PA      | $41537.14     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51928 | PA      | $49422.49     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15795 | PA      | $15650.49     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24826 | PA      | $24557.91     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QDFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109354 | PA      | $104957.71    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3082954 | PA      | $2666872.73   | 0.13%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QKBN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101334 | PA      | $90427.82     | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QM6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137743 | PA      | $130047.08    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QN3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942151 | PA      | $877674.83    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QNBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1560972 | PA      | $1331050.39   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QNF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514391 | PA      | $456631.20    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QNGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376469 | PA      | $354930.45    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475228 | PA      | $410329.80    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1306991 | PA      | $1126377.15   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QNPH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2246445 | PA      | $2109868.51   | 0.10%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QNS60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1083670 | PA      | $972411.00    | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1374025 | PA      | $1290484.22   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197432 | PA      | $185429.19    | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69981 | PA      | $66184.32     | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138326 | PA      | $129995.99    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QS3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2974352 | PA      | $3060781.75   | 0.15%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QSNC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360650 | PA      | $358599.89    | 0.02%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QSTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313816 | PA      | $311837.61    | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QTHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475908 | PA      | $492228.88    | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140QUBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    879239 | PA      | $908101.87    | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134133 | PA      | $129150.12    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140X8UA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95847 | PA      | $91970.05     | 0.00%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XFMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629659 | PA      | $543530.25    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XFWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3070626 | PA      | $2635653.04   | 0.13%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1261950 | PA      | $1087564.77   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XGJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249080 | PA      | $234662.96    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XGNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560078 | PA      | $520775.33    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317498 | PA      | $298032.77    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    798378 | PA      | $751631.40    | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22498 | PA      | $21713.79     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567650 | PA      | $562176.90    | 0.03%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XJQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70587 | PA      | $62673.84     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479563 | PA      | $463138.13    | 0.02%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                              | CUSIP: 3140XKDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014711 | PA      | $966634.10    | 0.05%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XL4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722220 | PA      | $641249.39    | 0.03%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XL5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754731 | PA      | $745803.41    | 0.04%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XLVY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2923682 | PA      | $2521112.85   | 0.13%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XMC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304586 | PA      | $270439.45    | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XMUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1230008 | PA      | $1057834.66   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XNVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3211778 | PA      | $2766397.02   | 0.14%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XP4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1122061 | PA      | $1180386.88   | 0.06%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140XPNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    961862 | PA      | $1010000.32   | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 3140Y64Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676768 | PA      | $699940.87    | 0.03%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14985 | PA      | $15848.45     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35868 | PA      | $33164.71     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9981 | PA      | $9204.75      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275732 | PA      | $266245.83    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182310 | PA      | $148287.78    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601551 | PA      | $539671.58    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34311 | PA      | $33810.21     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                              | CUSIP: 31418DQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    981701 | PA      | $877354.98    | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 31427NLG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447350 | PA      | $459317.61    | 0.02%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3142GTLB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2734493 | PA      | $2781737.39   | 0.14%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                         | CUSIP: 3142GUZ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124993 | PA      | $128813.91    | 0.01%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2025-HE2, Class A                                      | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    751829 | PA      | $760787.65    | 0.04%             | 2055-03-25      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2025-HE3, Class A                                      | CUSIP: 31684LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    863104 | PA      | $872201.97    | 0.04%             | 2055-05-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2025-HE5, Class A                                      | CUSIP: 31684MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612354 | PA      | $614724.99    | 0.03%             | 2055-08-25      | Variable      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2025-HE6, Class A                                      | CUSIP: 31684NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465389 | PA      | $463936.43    | 0.02%             | 2055-09-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2025-HE4, Class A                                      | CUSIP: 31684PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397311 | PA      | $400323.29    | 0.02%             | 2055-07-25      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2024-HE4, Class A                                      | CUSIP: 31684UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618825 | PA      | $622459.36    | 0.03%             | 2054-09-25      | Variable      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2024-HE2, Class A                                      | CUSIP: 316927AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420030 | PA      | $431060.39    | 0.02%             | 2054-05-25      | Variable      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust       | Finance of America Structured Securities Trust, Series 2025-S1, Class A1   | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |    660309 | PA      | $641612.01    | 0.03%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                              | Flagstar Mortgage Trust, Series 2021-13IN, Class A2                        | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    633523 | PA      | $554248.74    | 0.03%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Flutter Treasury DAC                                 | Flutter Treasury DAC                                                       | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    743000 | PA      | $753327.70    | 0.04%             | 2031-06-04      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: —       |
| Ford Motor Credit Co. LLC                            | Ford Motor Credit Co. LLC                                                  | CUSIP: 345397D67<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    715000 | PA      | $767955.35    | 0.04%             | 2033-11-07      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2025-3A, Class A                          | CUSIP: 35042TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910875 | PA      | $913297.87    | 0.05%             | 2052-08-15      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                | Foundry JV Holdco LLC                                                      | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   1821000 | PA      | $1870068.12   | 0.09%             | 2034-01-25      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                | Foundry JV Holdco LLC                                                      | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    395000 | PA      | $418854.57    | 0.02%             | 2035-01-25      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                | Foundry JV Holdco LLC                                                      | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    395000 | PA      | $413307.13    | 0.02%             | 2033-01-25      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust          | Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1       | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131520 | PA      | $130762.36    | 0.01%             | 2060-09-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M1A                       | CUSIP: 35564K2F5<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |     20861 | PA      | $20893.11     | 0.00%             | 2043-06-25      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2023-HQA3, Class M1                        | CUSIP: 35564K3G2<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |    307347 | PA      | $309060.82    | 0.02%             | 2043-11-25      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M2                        | CUSIP: 35564KH77<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |    231398 | PA      | $249296.89    | 0.01%             | 2042-09-25      | Floating      | 9.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                        | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    337312 | PA      | $340005.98    | 0.02%             | 2041-09-25      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M2                        | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    821409 | PA      | $828424.98    | 0.04%             | 2041-12-25      | Floating      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                       | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |     59524 | PA      | $59546.12     | 0.00%             | 2042-02-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                        | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |    166160 | PA      | $171105.77    | 0.01%             | 2042-02-25      | Floating      | 7.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2023-DNA2, Class M1A                       | CUSIP: 35564KT58<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |    227705 | PA      | $230856.48    | 0.01%             | 2043-04-25      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M1A                       | CUSIP: 35564KTA7<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    251617 | PA      | $252168.19    | 0.01%             | 2042-03-25      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M2                        | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |    289638 | PA      | $301680.11    | 0.01%             | 2042-04-25      | Floating      | 8.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2022-DNA4, Class M2                        | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |     97564 | PA      | $103012.43    | 0.01%             | 2042-05-25      | Floating      | 9.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M2                        | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |     53175 | PA      | $57429.74     | 0.00%             | 2042-06-25      | Floating      | 10.62%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2024-DNA2, Class M1                        | CUSIP: 35564NCX9<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |    532900 | PA      | $533565.32    | 0.03%             | 2044-05-25      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2024-DNA3, Class M1                        | CUSIP: 35564NEZ2<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |      3702 | PA      | $3700.73      | 0.00%             | 2044-10-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2025-DNA1, Class M1                        | CUSIP: 35564NFZ1<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |    382056 | PA      | $382056.78    | 0.02%             | 2045-01-25      | Floating      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M1                        | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |    795331 | PA      | $796056.41    | 0.04%             | 2045-02-25      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2025-DNA2, Class M1                        | CUSIP: 35564NHZ9<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | CORP              | US        |    259069 | PA      | $258982.94    | 0.01%             | 2045-05-25      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2025-DNA3, Class M1                        | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | CORP              | US        |    290590 | PA      | $291063.19    | 0.01%             | 2045-09-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1626753 | PA      | $1483815.67   | 0.07%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163081 | PA      | $165770.88    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28758 | PA      | $28593.33     | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142528 | PA      | $136952.09    | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 36179UST0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2136140 | PA      | $1973775.55   | 0.10%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2075561 | PA      | $1791315.54   | 0.09%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1564863 | PA      | $1408225.04   | 0.07%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1054274 | PA      | $948528.71    | 0.05%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2417290 | PA      | $2174832.89   | 0.11%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, Single Family, 30 Year                                             | CUSIP: 3617AUZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235713 | PA      | $225685.99    | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 3617B13X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12999 | PA      | $12344.85     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 3617B14A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40290 | PA      | $38185.38     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 3617B14U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12557 | PA      | $11912.78     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, Single Family, 30 Year                                             | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31186 | PA      | $30020.31     | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, Single Family, 30 Year                                             | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13184 | PA      | $12741.72     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, Single Family, 30 Year                                             | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50174 | PA      | $48022.52     | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19359 | PA      | $18915.96     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                            | CUSIP: 3617H1CJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51589 | PA      | $50401.08     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                       | GLP Capital LP                                                             | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | PA      | $87496.88     | 0.00%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                       | GLP Capital LP                                                             | CUSIP: 361841AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    881000 | PA      | $957535.99    | 0.05%             | 2033-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                       | GLP Capital LP                                                             | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1007000 | PA      | $1021650.20   | 0.05%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                            | CUSIP: 3622A2QL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292539 | PA      | $283377.38    | 0.01%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                            | CUSIP: 3622A2UF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331992 | PA      | $329093.66    | 0.02%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                           | CUSIP: 3622ABLY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1753746 | PA      | $1497087.36   | 0.07%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GWT                                                  | GWT, Series 2024-WLF2, Class A                                             | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1936000 | PA      | $1941390.60   | 0.10%             | 2041-05-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust                  | GS Mortgage Backed Securities Trust, Series 2025-CES2, Class A1            | CUSIP: 36273BAA7<br>LEI: 254900U0V0TUGIF39T29 | Long             | ABS-O            | CORP              | US        |   1579671 | PA      | $1583583.34   | 0.08%             | 2055-09-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                   | GS Mortgage Securities Corp. Trust, Series 2025-800D, Class A              | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2359000 | PA      | $2362153.51   | 0.12%             | 2041-11-25      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| GCAT Trust                                           | GCAT Trust, Series 2023-INV1, Class A1                                     | CUSIP: 36830QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1057092 | PA      | $1076582.46   | 0.05%             | 2053-08-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GE Aerospace                                         | GE Aerospace                                                               | CUSIP: 369604301<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EC               | CORP              | US        |     56223 | NS      | $17318370.69  | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| GoldenTree Loan Management US CLO 17 Ltd.            | GoldenTree Loan Management US CLO 17 Ltd., Series 2023-17A, Class AR       | CUSIP: 38139FAN0<br>LEI: 549300TS068SCJRDSP12 | Long             | ABS-CBDO         | CORP              | JE        |   1930000 | PA      | $1933603.31   | 0.10%             | 2039-01-20      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                            | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     19202 | NS      | $16878558.00  | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                            | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1479000 | PA      | $1535018.97   | 0.08%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding LLC               | Gracie Point International Funding LLC, Series 2024-1A, Class A            | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482000 | PA      | $482363.86    | 0.02%             | 2028-03-01      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                  | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    663000 | PA      | $626223.53    | 0.03%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                  | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1048000 | PA      | $1092979.88   | 0.05%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                                 | HCA Healthcare, Inc.                                                       | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |     18348 | NS      | $8565947.28   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Health Care Service Corp. A Mutual Legal Reserve Co. | Health Care Service Corp. A Mutual Legal Reserve Co.                       | CUSIP: 42218SAF5<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    883000 | PA      | $801765.48    | 0.04%             | 2030-06-01      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Health Care Service Corp. A Mutual Legal Reserve Co. | Health Care Service Corp. A Mutual Legal Reserve Co.                       | CUSIP: 42218SAK4<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   1249000 | PA      | $1280231.71   | 0.06%             | 2029-06-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Health Care Service Corp. A Mutual Legal Reserve Co. | Health Care Service Corp. A Mutual Legal Reserve Co.                       | CUSIP: 42218SAL2<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   2116000 | PA      | $2166307.29   | 0.11%             | 2034-06-15      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing III LLC, Series 2025-5A, Class A                   | CUSIP: 42806MDL0<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    777000 | PA      | $777103.11    | 0.04%             | 2030-05-25      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Hess Midstream Operations LP                         | Hess Midstream Operations LP                                               | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1113000 | PA      | $1088609.50   | 0.05%             | 2030-02-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Hess Midstream Operations LP                         | Hess Midstream Operations LP                                               | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    990000 | PA      | $993995.64    | 0.05%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Hilton Worldwide Holdings, Inc.                      | Hilton Worldwide Holdings, Inc.                                            | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |     36053 | NS      | $10356224.25  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Depot, Inc. (The)                               | Home Depot, Inc. (The)                                                     | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |     43489 | NS      | $14964564.90  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Homeward Opportunities Fund Trust                    | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A1              | CUSIP: 43789FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1726000 | PA      | $1727728.42   | 0.09%             | 2029-07-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                    | Homeward Opportunities Fund Trust, Series 2024-RRTL2, Class A1             | CUSIP: 43789GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766000 | PA      | $767807.91    | 0.04%             | 2039-09-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                    | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1             | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1129000 | PA      | $1134234.38   | 0.06%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                    | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1             | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $602116.74    | 0.03%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                               | Howmet Aerospace, Inc.                                                     | CUSIP: 443201108<br>LEI: 549300HO5WFZUT5N2T22 | Long             | EC               | CORP              | US        |     49844 | NS      | $10219016.88  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                           | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10                    | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1236485 | PA      | $1235299.95   | 0.06%             | 2034-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Humana, Inc.                                         | Humana, Inc.                                                               | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    334000 | PA      | $350839.08    | 0.02%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                         | Humana, Inc.                                                               | CUSIP: 444859BY7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    942000 | PA      | $987900.56    | 0.05%             | 2034-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    387433 | PA      | $391590.80    | 0.02%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Intercontinental Exchange, Inc.                                            | CUSIP: 45866F104<br>LEI: 5493000F4ZO33MV32P92 | Long             | EC               | CORP              | US        |     86413 | NS      | $13995449.48  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuit, Inc.                                         | Intuit, Inc.                                                               | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |     21458 | NS      | $14214208.36  | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuitive Surgical, Inc.                             | Intuitive Surgical, Inc.                                                   | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |     18319 | NS      | $10375148.84  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Chase Mortgage Finance Corp.                         | Chase Mortgage Finance Corp., Series 2021-CL1, Class M1                    | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725235 | PA      | $714359.78    | 0.04%             | 2050-02-25      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                           | J.P. Morgan Mortgage Trust, Series 2025-5MPR, Class A1D                    | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    482017 | PA      | $483828.95    | 0.02%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                       | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     96664 | NS      | $31147074.08  | 1.55%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                       | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1420000 | PA      | $1467702.91   | 0.07%             | 2031-01-24      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Jane Street Group                                    | Jane Street Group                                                          | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    989000 | PA      | $1039207.88   | 0.05%             | 2031-04-30      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Jane Street Group                                    | Jane Street Group                                                          | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2309000 | PA      | $2349546.04   | 0.12%             | 2032-11-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Jane Street Group                                    | Jane Street Group                                                          | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2062000 | PA      | $2152308.07   | 0.11%             | 2033-05-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Johnson & Johnson                                    | Johnson & Johnson                                                          | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     88001 | NS      | $18211806.95  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| KLA Corp.                                            | KLA Corp.                                                                  | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |     14978 | NS      | $18199468.24  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| KRE Commercial Mortgage Trust                        | KRE Commercial Mortgage Trust, Series 2025-AIP4, Class A                   | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1491000 | PA      | $1489137.89   | 0.07%             | 2042-03-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                           | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540453 | PA      | $545308.92    | 0.03%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                           | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421362 | PA      | $424196.84    | 0.02%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2024-RTL4, Class A1                           | CUSIP: 50205PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1641092 | PA      | $1649101.02   | 0.08%             | 2039-07-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                           | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $551592.64    | 0.03%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                         | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   2218000 | PA      | $2367233.65   | 0.12%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                         | CUSIP: 50212YAK0<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1661510.57   | 0.08%             | 2034-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                         | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    578000 | PA      | $591485.83    | 0.03%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                         | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    969000 | PA      | $993225.78    | 0.05%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                         | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    944000 | PA      | $962704.45    | 0.05%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                         | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1171000 | PA      | $1204901.60   | 0.06%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp.                                   | Lam Research Corp.                                                         | CUSIP: 512807306<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |    121896 | NS      | $20866157.28  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2023-1A, Class A2                    | CUSIP: 52608LAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121420 | PA      | $122658.87    | 0.01%             | 2028-08-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| LEX Mortgage Trust                                   | LEX Mortgage Trust, Series 2024-BBG, Class A                               | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394000 | PA      | $396323.46    | 0.02%             | 2033-10-13      | Variable      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                                  | Libra Solutions LLC, Series 2024-1A, Class A                               | CUSIP: 53161XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    327000 | PA      | $327128.74    | 0.02%             | 2038-09-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2021-BMR, Class C                              | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98683 | PA      | $98262.29     | 0.00%             | 2038-03-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2022-BMR2, Class A1                            | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1231000 | PA      | $1187169.01   | 0.06%             | 2039-05-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2022-BMR2, Class B                             | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357000 | PA      | $322624.54    | 0.02%             | 2039-05-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Eli Lilly & Co.                                      | Eli Lilly & Co.                                                            | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     30878 | NS      | $33183969.04  | 1.65%             |  |  |  | No            |                  1 | On Loan: No      |
| LMDV Issuer Co. LLC                                  | LMDV Issuer Co. LLC, Series 2025-1A, Class A2                              | CUSIP: 538908AA2<br>LEI: 254900A6HRP8XHJJGM20 | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $622788.14    | 0.03%             | 2055-12-15      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| M&T Equipment Notes                                  | M&T Equipment Notes, Series 2023-1A, Class A3                              | CUSIP: 551925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169651 | PA      | $170651.83    | 0.01%             | 2030-07-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| MSCI, Inc.                                           | MSCI, Inc.                                                                 | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    295000 | PA      | $288419.20    | 0.01%             | 2029-11-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2025-2A, Class A                                           | CUSIP: 55389RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284376 | PA      | $284781.19    | 0.01%             | 2044-10-20      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding LXII Ltd.                       | Madison Park Funding LXII Ltd., Series 2022-62A, Class A1R2                | CUSIP: 55817HAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1841000 | PA      | $1841592.80   | 0.09%             | 2038-07-16      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding LV Ltd.                         | Madison Park Funding LV Ltd., Series 2022-55A, Class A1R                   | CUSIP: 55819FAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2458512 | PA      | $2464048.57   | 0.12%             | 2037-07-18      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XXXIV Ltd.                      | Madison Park Funding XXXIV Ltd., Series 2019-34A, Class A2RR               | CUSIP: 55819GAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    790000 | PA      | $790466.10    | 0.04%             | 2037-10-16      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding LXXIII Ltd.                     | Madison Park Funding LXXIII Ltd., Series 2025-73A, Class A1                | CUSIP: 55823HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007040.00   | 0.10%             | 2038-10-17      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Magnetite 50 Ltd.                                    | Magnetite 50 Ltd., Series 2025-50A, Class A1                               | CUSIP: 55956MAA7<br>LEI: 529900LA8YF5OY74OD31 | Long             | ABS-CBDO         | CORP              | KY        |   1393000 | PA      | $1394624.24   | 0.07%             | 2038-07-25      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| NYLI U.S. Government Liquidity Fund                  | NYLI U.S. Government Liquidity Fund                                        | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |  47591024 | NS      | $47591023.64  | 2.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Marvell Technology, Inc.                             | Marvell Technology, Inc.                                                   | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    793000 | PA      | $787629.92    | 0.04%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Mastercard, Inc.                                     | Mastercard, Inc., Class A                                                  | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     64879 | NS      | $37038123.52  | 1.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2021-INV3, Class A11             | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684176 | PA      | $637513.51    | 0.03%             | 2051-10-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2021-INV2, Class A11             | CUSIP: 58549XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543659 | PA      | $506395.13    | 0.03%             | 2051-08-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2024-SD1, Class A1               | CUSIP: 58550DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465299 | PA      | $456890.60    | 0.02%             | 2054-04-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                          | Merchants Fleet Funding LLC, Series 2025-1A, Class A                       | CUSIP: 588926AL9<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    559000 | PA      | $560778.85    | 0.03%             | 2039-01-20      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Microsoft Corp.                                      | Microsoft Corp.                                                            | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    179889 | NS      | $86997918.18  | 4.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Monster Beverage Corp.                               | Monster Beverage Corp.                                                     | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |    144945 | NS      | $11112933.15  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Moody's Corp.                                        | Moody's Corp.                                                              | CUSIP: 615369105<br>LEI: 549300GCEDD8YCF5WU84 | Long             | EC               | CORP              | US        |     19522 | NS      | $9972813.70   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                             | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    104956 | NS      | $18632838.68  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                             | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1318841.40   | 0.07%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                             | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1196363.75   | 0.06%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                             | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1631601.76   | 0.08%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust       | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-SPL1, Class A1 | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710781 | PA      | $695699.05    | 0.03%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                             | Motorola Solutions, Inc.                                                   | CUSIP: 620076307<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | EC               | CORP              | US        |     28700 | NS      | $11001284.00  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| NCL Corp. Ltd.                                       | NCL Corp. Ltd.                                                             | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |   2670000 | PA      | $2659897.81   | 0.13%             | 2031-01-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| NCL Corp. Ltd.                                       | NCL Corp. Ltd.                                                             | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |   1655000 | PA      | $1654303.08   | 0.08%             | 2033-09-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                     | NRG Energy, Inc.                                                           | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1516000 | PA      | $1517920.77   | 0.08%             | 2030-10-15      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                     | NRG Energy, Inc.                                                           | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    814000 | PA      | $822278.38    | 0.04%             | 2034-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                     | NRG Energy, Inc.                                                           | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1526000 | PA      | $1546209.37   | 0.08%             | 2036-01-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes               | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214630 | PA      | $212038.18    | 0.01%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                                  | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744519 | PA      | $757239.93    | 0.04%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Netflix, Inc.                                        | Netflix, Inc.                                                              | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |    170219 | NS      | $15959733.44  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| NetCredit Combined Receivables LLC                   | NetCredit Combined Receivables LLC, Series 2024-A, Class A                 | CUSIP: 64113EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11551 | PA      | $11567.80     | 0.00%             | 2030-10-21      | Fixed         | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO 32R Ltd.                        | Neuberger Berman CLO 32R Ltd., Series 2019-32RA, Class A                   | CUSIP: 64135XAA9<br>LEI: 25490093SHVBS5BLDZ40 | Long             | ABS-CBDO         | CORP              | KY        |   1693713 | PA      | $1695520.19   | 0.08%             | 2039-07-20      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC               | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1            | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514000 | PA      | $315360.85    | 0.02%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2018-2A, Class A1              | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |     83453 | PA      | $82764.08     | 0.00%             | 2058-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1            | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |    627000 | PA      | $631674.29    | 0.03%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-NQM2, Class A1            | CUSIP: 64832BAC9<br>LEI: 213800Z6O4V4V96AU133 | Long             | ABS-MBS          | CORP              | US        |    836215 | PA      | $838484.52    | 0.04%             | 2064-09-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| NIKE, Inc.                                           | NIKE, Inc., Class B                                                        | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |    172700 | NS      | $11002717.00  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| NRTH Commercial Mortgage Trust                       | NRTH Commercial Mortgage Trust, Series 2025-PARK, Class A                  | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1479000 | PA      | $1480386.27   | 0.07%             | 2040-10-15      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| NVIDIA Corp.                                         | NVIDIA Corp.                                                               | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |    631477 | NS      | $117770460.50 | 5.84%             |  |  |  | No            |                  1 | On Loan: No      |
| OHA Credit Funding 7 Ltd.                            | OHA Credit Funding 7 Ltd., Series 2020-7A, Class A1R2                      | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1734000 | PA      | $1733046.30   | 0.09%             | 2038-07-19      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                                         | OCP CLO Ltd., Series 2020-18A, Class A2R2                                  | CUSIP: 671078AY9<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |    602473 | PA      | $602835.69    | 0.03%             | 2037-07-20      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2022-INV1, Class A1                                      | CUSIP: 67115NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237097 | PA      | $206895.03    | 0.01%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2022-INV1, Class A18                                     | CUSIP: 67115NAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    627535 | PA      | $542891.39    | 0.03%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund           | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1       | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655201 | PA      | $595852.98    | 0.03%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                           | Occidental Petroleum Corp.                                                 | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    663000 | PA      | $766628.23    | 0.04%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                           | Occidental Petroleum Corp.                                                 | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    765000 | PA      | $823571.46    | 0.04%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                           | Occidental Petroleum Corp.                                                 | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    835000 | PA      | $882534.05    | 0.04%             | 2031-01-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                         | OCP CLO Ltd., Series 2025-44A, Class A                                     | CUSIP: 67570UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $902257.20    | 0.04%             | 2038-10-24      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 42 Ltd.                  | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class A2RR            | CUSIP: 67576PBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250286.00    | 0.01%             | 2037-07-15      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| OHA Credit Funding 9 Ltd.                            | OHA Credit Funding 9 Ltd., Series 2021-9A, Class A2R                       | CUSIP: 67690AAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1138000 | PA      | $1141579.01   | 0.06%             | 2037-10-19      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                               | CUSIP: 68389X105<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | EC               | CORP              | US        |     60289 | NS      | $11750928.99  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                               | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    454000 | PA      | $444866.63    | 0.02%             | 2035-08-03      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                               | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1341313.04   | 0.07%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                               | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1169000 | PA      | $1035750.62   | 0.05%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                               | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1564000 | PA      | $1379436.24   | 0.07%             | 2065-09-26      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Blue Owl Credit Income Corp.                         | Blue Owl Credit Income Corp.                                               | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    163000 | PA      | $162358.69    | 0.01%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Blue Owl Credit Income Corp.                         | Blue Owl Credit Income Corp.                                               | CUSIP: 69120VBB6<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    852000 | PA      | $900885.59    | 0.04%             | 2028-06-13      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                   | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |     47592 | NS      | $9933878.16   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                   | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1424000 | PA      | $1611436.81   | 0.08%             | 2034-10-20      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                   | CUSIP: 693475BZ7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1586000 | PA      | $1640483.46   | 0.08%             | 2035-07-23      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                   | CUSIP: 693475CB9<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    500000 | PA      | $517338.68    | 0.03%             | 2031-01-29      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2025-RCF4, Class A1                                       | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610877 | PA      | $606324.95    | 0.03%             | 2055-08-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                           | PRET Trust, Series 2025-RPL1, Class A1                                     | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    814881 | PA      | $798375.81    | 0.04%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                           | PRET Trust, Series 2025-RPL2, Class A1                                     | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    897075 | PA      | $877160.39    | 0.04%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                           | PRET Trust, Series 2025-RPL5, Class A1                                     | CUSIP: 69393AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543618 | PA      | $1516284.80   | 0.08%             | 2070-01-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2024-RCF2, Class A1                                       | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311470 | PA      | $306866.83    | 0.02%             | 2054-03-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Philip Morris International, Inc.                    | Philip Morris International, Inc.                                          | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |    121042 | NS      | $19415136.80  | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Progressive Corp. (The)                              | Progressive Corp. (The)                                                    | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |     97332 | NS      | $22164443.04  | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2025-RPL4, Class A1                                       | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1181028 | PA      | $1123035.64   | 0.06%             | 2055-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| QTS Issuer ABS I LLC                                 | QTS Issuer ABS I LLC, Series 2025-1A, Class A2                             | CUSIP: 74690DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3109000 | PA      | $3130138.71   | 0.16%             | 2055-05-25      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                | QTS Issuer ABS II LLC, Series 2025-1A, Class A2                            | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1887000 | PA      | $1870350.62   | 0.09%             | 2055-10-05      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Qnity Electronics, Inc.                              | Qnity Electronics, Inc.                                                    | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |    700000 | PA      | $715712.20    | 0.04%             | 2032-08-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                              | Quikrete Holdings, Inc.                                                    | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |   1076000 | PA      | $1119986.88   | 0.06%             | 2032-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES6, Class A1A                           | CUSIP: 748949AA2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |      8367 | PA      | $8446.76      | 0.00%             | 2055-06-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                           | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218922 | PA      | $219615.78    | 0.01%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2021-3, Class A21                              | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488733 | PA      | $451851.27    | 0.02%             | 2051-07-25      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES5, Class A1A                           | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1042455 | PA      | $1052677.08   | 0.05%             | 2044-08-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES2, Class A1A                           | CUSIP: 74938PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075923 | PA      | $1087165.60   | 0.05%             | 2044-04-25      | Variable      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES10, Class A1A                          | CUSIP: 74939LAA2<br>LEI: 2549008ADDIO9CIJ8W08 | Long             | ABS-O            | CORP              | US        |    654057 | PA      | $654709.21    | 0.03%             | 2055-11-25      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES8, Class A1A                           | CUSIP: 74939WAA8<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-MBS          | CORP              | US        |   1080551 | PA      | $1086276.38   | 0.05%             | 2055-08-25      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES6, Class A1A                           | CUSIP: 749410AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    836926 | PA      | $840570.65    | 0.04%             | 2044-09-25      | Variable      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES7, Class A1A                           | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1287984 | PA      | $1292051.58   | 0.06%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES1, Class A1A                           | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338715 | PA      | $341496.46    | 0.02%             | 2044-02-25      | Variable      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES9, Class A1A                           | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246918 | PA      | $249444.41    | 0.01%             | 2044-12-25      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES2, Class A1A                           | CUSIP: 74942BAA9<br>LEI: 2549001985H26N17CK52 | Long             | ABS-MBS          | CORP              | US        |    742389 | PA      | $749059.41    | 0.04%             | 2055-02-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES9, Class A1A                           | CUSIP: 74942JAA2<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    424605 | PA      | $423776.70    | 0.02%             | 2055-09-25      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES7, Class A1A                           | CUSIP: 74943AAA0<br>LEI: 254900E35NYYFOUTHD06 | Long             | ABS-O            | CORP              | US        |    618833 | PA      | $624807.38    | 0.03%             | 2055-07-25      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| EMRLD Borrower LP                                    | EMRLD Borrower LP, First Lien Initial Term Loan B                          | CUSIP: 26872NAC3<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |    650060 | PA      | $651315.55    | 0.03%             | 2030-05-31      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                    | Rocket Cos., Inc.                                                          | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $723575.40    | 0.04%             | 2030-08-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                    | Rocket Cos., Inc.                                                          | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2935000 | PA      | $3060086.77   | 0.15%             | 2033-08-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                        | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class A                   | CUSIP: 78398EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986000 | PA      | $1978559.05   | 0.10%             | 2035-03-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| SF ABS Issuer LLC                                    | SF Abs Issuer LLC, Series 2025-1A, Class A2                                | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2734000 | PA      | $2674491.76   | 0.13%             | 2055-11-25      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2025-2A, Class A2                        | CUSIP: 78439XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446000 | PA      | $446599.42    | 0.02%             | 2031-12-22      | Fixed         | 4.26%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                                 | SMRT, Series 2022-MINI, Class A                                            | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1975000 | PA      | $1974997.43   | 0.10%             | 2039-01-15      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                          | SREIT Trust, Series 2021-MFP, Class A                                      | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114082 | PA      | $114012.11    | 0.01%             | 2038-11-15      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG4, Class A         | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672809 | PA      | $697445.65    | 0.03%             | 2053-11-25      | Variable      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2024-CES1, Class A1        | CUSIP: 79581VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403950 | PA      | $408770.90    | 0.02%             | 2054-03-25      | Variable      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2025-LOC5, Class A1A       | CUSIP: 79581XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1188689 | PA      | $1192165.39   | 0.06%             | 2055-10-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG3, Class A         | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270194 | PA      | $1311179.62   | 0.07%             | 2053-08-25      | Variable      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2024-FIG5, Class A         | CUSIP: 79582MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537622 | PA      | $550574.94    | 0.03%             | 2054-04-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Saluds Grade Alternative Mortgage Trust              | Saluds Grade Alternative Mortgage Trust, Series 2025-RRTL1, Class A1       | CUSIP: 79582NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    831000 | PA      | $830969.09    | 0.04%             | 2040-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1        | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1239333 | PA      | $1246607.64   | 0.06%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class A2           | CUSIP: 80290CBD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55342 | PA      | $55641.20     | 0.00%             | 2032-08-16      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                           | Charles Schwab Corp. (The)                                                 | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |    146108 | NS      | $14597650.28  | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| SELF Commercial Mortgage Trust                       | SELF Commercial Mortgage Trust, Series 2024-STRG, Class A                  | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2328000 | PA      | $2329453.37   | 0.12%             | 2034-11-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust, Series 2013-5, Class A1                            | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    132533 | PA      | $117943.37    | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust, Series 2020-2, Class A19                           | CUSIP: 81748KBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45840 | PA      | $41041.95     | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| ServiceNow, Inc.                                     | ServiceNow, Inc.                                                           | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |     49255 | NS      | $7545373.45   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                            | INVESCO GOVERNMENT & AGENCY PORTFOLIO OPEN-END FUND USD                    | CUSIP: 825252885<br>LEI: O37NHJVF7S22I1ONOU83 | Long             | STIV             | RF                | US        |   4086109 | NS      | $4086109.10   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Sixth Street CLO IX Ltd.                             | Sixth Street CLO IX Ltd., Series 2017-9A, Class AR                         | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |   1682000 | PA      | $1686226.87   | 0.08%             | 2037-07-21      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                              | Genesee & Wyoming, Inc., First Lien Initial Term Loan                      | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |   2417308 | PA      | $2416930.85   | 0.12%             | 2031-04-10      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                        | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    992000 | PA      | $1015969.42   | 0.05%             | 2029-04-13      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                        | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2316000 | PA      | $2447130.04   | 0.12%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Solventum Corp.                                      | Solventum Corp.                                                            | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1945000 | PA      | $2028870.11   | 0.10%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                      | Solventum Corp.                                                            | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   2564000 | PA      | $2667821.82   | 0.13%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower LP                                    | EMRLD Borrower LP, First Lien Second Amendment Incremental Term Loan       | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |   2820612 | PA      | $2825195.56   | 0.14%             | 2031-08-04      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Lightning Power LLC                                  | Lightning Power LLC, First Lien Initial Term Loan B                        | CUSIP: 53229LAB3<br>LEI: 254900BWCHJ03XRL8K59 | Long             | LON              | CORP              | US        |   1781450 | PA      | $1789521.75   | 0.09%             | 2031-08-18      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Stryker Corp.                                        | Stryker Corp.                                                              | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |     45840 | NS      | $16111384.80  | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Alpha Generation LLC                                 | Alpha Generation LLC, First Lien Initial Term Loan B                       | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |    979600 | PA      | $982171.45    | 0.05%             | 2031-09-30      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                            | Sunoco LP                                                                  | CUSIP: 86765KAB5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   1457000 | PA      | $1519586.89   | 0.08%             | 2029-05-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                            | Sunoco LP                                                                  | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    819000 | PA      | $865958.30    | 0.04%             | 2032-05-01      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                            | Sunoco LP                                                                  | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    562000 | PA      | $566117.77    | 0.03%             | 2031-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Sunoco LP                                            | Sunoco LP                                                                  | CUSIP: 86765KAG4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    954000 | PA      | $953915.57    | 0.05%             | 2034-03-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: —       |
| TJX Cos., Inc. (The)                                 | TJX Cos., Inc. (The)                                                       | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |     69145 | NS      | $10621363.45  | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Trust (The)                                          | Trust (The), Series 2023-MIC, Class A                                      | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    933823 | PA      | $1010261.18   | 0.05%             | 2038-12-05      | Variable      | 8.44%                 | Yes           |                  2 | On Loan: No      |
| TYSN Mortgage Trust                                  | TYSN Mortgage Trust, Series 2023-CRNR, Class A                             | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1489099 | PA      | $1567581.96   | 0.08%             | 2033-12-10      | Variable      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                | Taco Bell Funding LLC, Series 2021-1A, Class A2II                          | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371385 | PA      | $346219.58    | 0.02%             | 2051-08-25      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| Talen Energy Supply LLC                              | Talen Energy Supply LLC                                                    | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1407481.18   | 0.07%             | 2034-02-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Talen Energy Supply LLC                              | Talen Energy Supply LLC                                                    | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |   2264000 | PA      | $2341178.97   | 0.12%             | 2036-02-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Co. LLC                  | Teva Pharmaceutical Finance Co. LLC                                        | CUSIP: 88163VAD1<br>LEI: 5493006PITD7MU7WW480 | Long             | DBT              | CORP              | US        |    575000 | PA      | $603691.84    | 0.03%             | 2036-02-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV       | Teva Pharmaceutical Finance Netherlands III BV                             | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1290000 | PA      | $1353865.51   | 0.07%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands IV BV        | Teva Pharmaceutical Finance Netherlands IV BV                              | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |   1352000 | PA      | $1402327.50   | 0.07%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                      | TEXAS Commercial Mortgage Trust, Series 2025-TWR, Class A                  | CUSIP: 88231WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562000 | PA      | $562711.77    | 0.03%             | 2042-04-15      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Texas Debt Capital CLO Ltd.                          | Texas Debt Capital CLO Ltd., Series 2023-2A, Class A1R                     | CUSIP: 88239MAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1703000 | PA      | $1707945.51   | 0.08%             | 2037-10-21      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                       | Thermo Fisher Scientific, Inc.                                             | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |     22244 | NS      | $12889285.80  | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Toorak Mortgage Trust                                | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                         | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $512357.32    | 0.03%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust, Series 2025-FIX2, Class A1                      | CUSIP: 89183RAA0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-O            | CORP              | US        |   1455300 | PA      | $1461428.24   | 0.07%             | 2065-10-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                      | TransDigm, Inc.                                                            | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    211000 | PA      | $218950.69    | 0.01%             | 2034-01-31      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                      | TransDigm, Inc.                                                            | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    724000 | PA      | $754179.37    | 0.04%             | 2034-01-31      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| X Corp.                                              | X Corp., First Lien Tranche Term Loan B3                                   | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1477807 | PA      | $1470725.35   | 0.07%             | 2029-10-26      | Variable      | 9.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                       | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A                  | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699152 | PA      | $696858.92    | 0.03%             | 2034-09-15      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| UPG HI Issuer Trust                                  | UPG HI Issuer Trust, Series 2025-2, Class A                                | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591000 | PA      | $590746.87    | 0.03%             | 2047-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Uber Technologies, Inc.                              | Uber Technologies, Inc.                                                    | CUSIP: 90353T100<br>LEI: 549300B2FTG34FILDR98 | Long             | EC               | CORP              | US        |    193195 | NS      | $15785963.45  | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| UWM Mortgage Trust                                   | UWM Mortgage Trust, Series 2021-INV1, Class A9                             | CUSIP: 90354XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661989 | PA      | $616277.64    | 0.03%             | 2051-08-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corp.                                  | Union Pacific Corp.                                                        | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |     42428 | NS      | $9814444.96   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| U.S. Bancorp                                         | U.S. Bancorp                                                               | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1471000 | PA      | $1283846.05   | 0.06%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                         | U.S. Bancorp                                                               | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1259000 | PA      | $1303929.18   | 0.06%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                         | U.S. Bancorp                                                               | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1401000 | PA      | $1439038.49   | 0.07%             | 2031-02-12      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                         | U.S. Bancorp                                                               | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1541000 | PA      | $1601607.73   | 0.08%             | 2036-02-12      | Variable      | 5.42%                 | No            |                  2 | On Loan: —       |
| United States of America                             | U.S. Treasury Bonds                                                        | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18395000 | PA      | $18084584.38  | 0.90%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bonds                                                        | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34397000 | PA      | $33612318.44  | 1.67%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                        | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3190000 | PA      | $3206323.84   | 0.16%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                        | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    619000 | PA      | $616388.59    | 0.03%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                        | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30977600 | PA      | $30532297.00  | 1.52%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                        | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13826000 | PA      | $13666136.88  | 0.68%             | 2032-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                        | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50207000 | PA      | $49701007.83  | 2.47%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                        | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12205000 | PA      | $12190697.20  | 0.60%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                             | Vantage Data Centers LLC, Series 2020-2A, Class A2                         | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    705000 | PA      | $671233.18    | 0.03%             | 2045-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers Issuer LLC                      | Vantage Data Centers Issuer LLC, Series 2021-1A, Class A2                  | CUSIP: 92212KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3200644 | PA      | $3135453.28   | 0.16%             | 2046-10-15      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| VASA Trust                                           | VASA Trust, Series 2021-VASA, Class A                                      | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $517463.89    | 0.03%             | 2039-07-15      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Vertex Pharmaceuticals, Inc.                         | Vertex Pharmaceuticals, Inc.                                               | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |     28105 | NS      | $12741682.80  | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| VICI Properties LP                                   | VICI Properties LP                                                         | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $1145773.93   | 0.06%             | 2035-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                            | Viper Energy Partners LLC                                                  | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    440000 | PA      | $445046.80    | 0.02%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Viper Energy Partners LLC                            | Viper Energy Partners LLC                                                  | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |   1171000 | PA      | $1195040.63   | 0.06%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Vistra Corp.                                         | Vistra Corp.                                                               | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |     30911 | NS      | $4986871.63   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Voya CLO Ltd.                                        | Voya CLO Ltd., Series 2024-4A, Class A2                                    | CUSIP: 92920KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    682703 | PA      | $682789.02    | 0.03%             | 2037-07-20      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Belron Finance 2019 LLC                              | Belron Finance 2019 LLC, First Lien 2031 Dollar Incremental Term Loan      | CUSIP: 08078UAN3<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    836444 | PA      | $840626.48    | 0.04%             | 2031-10-16      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                  | Medline Borrower LP, First Lien 2030 Refinancing Term Loan                 | CUSIP: 58503UAJ2<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |   1503032 | PA      | $1507192.47   | 0.07%             | 2030-10-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Qnity Electronics, Inc.                              | Qnity Electronics, Inc., First Lien Initial Term Loan                      | CUSIP: 74737SAB9<br>LEI: 254900RSUG4J9TFFZX53 | Long             | LON              | CORP              | US        |    563000 | PA      | $565111.25    | 0.03%             | 2032-10-29      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                      | TransDigm, Inc., First Lien Tranche Term Loan M                            | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |   1480290 | PA      | $1486252.61   | 0.07%             | 2032-08-19      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class A            | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2029000 | PA      | $2038372.97   | 0.10%             | 2038-03-15      | Variable      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                          | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2955000 | PA      | $3059961.39   | 0.15%             | 2031-01-24      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A           | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88897 | PA      | $88846.94     | 0.00%             | 2040-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Wendy's Funding LLC                                  | Wendy's Funding LLC, Series 2018-1A, Class A2II                            | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1103670 | PA      | $1084798.22   | 0.05%             | 2048-03-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Wendy's Funding LLC                                  | Wendy's Funding LLC, Series 2021-1A, Class A2I                             | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    242362 | PA      | $225872.72    | 0.01%             | 2051-06-15      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| Wendy's Funding LLC                                  | Wendy's Funding LLC, Series 2021-1A, Class A2II                            | CUSIP: 95058XAL2<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    610240 | PA      | $544156.60    | 0.03%             | 2051-06-15      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Wendy's Funding LLC                                  | Wendy's Funding LLC, Series 2022-1A, Class A2II                            | CUSIP: 95058XAP3<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    162083 | PA      | $157338.03    | 0.01%             | 2052-03-15      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Wendy's Funding LLC                                  | Wendy's Funding LLC, Series 2025-1A, Class A2I                             | CUSIP: 95058XAR9<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   2219000 | PA      | $2212440.19   | 0.11%             | 2055-12-15      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Talen Energy Supply LLC                              | Talen Energy Supply LLC, First Lien 2025-1 Incremental Term Loan B         | CUSIP: 87422LBA7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1335547 | PA      | $1336938.33   | 0.07%             | 2032-11-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Western Digital Corp.                                | Western Digital Corp.                                                      | CUSIP: 958102AM7<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |    293000 | PA      | $293224.15    | 0.01%             | 2026-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2022-1A, Class A                              | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37585 | PA      | $37342.42     | 0.00%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                    | Xcel Energy, Inc.                                                          | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    832000 | PA      | $861591.69    | 0.04%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                         | Zoetis, Inc.                                                               | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |    104634 | NS      | $13165049.88  | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO                                                 | EURO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |         3 | OU      | $3.84         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       953 | NC      | $-432719.18   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Accenture plc                                        | Accenture plc, Class A                                                     | CUSIP: N/A<br>LEI: 5493000EWHDSR3MZWH98       | Long             | EC               | CORP              | IE        |     15510 | NS      | $4161333.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Corp. plc                                      | Eaton Corp. plc                                                            | CUSIP: N/A<br>LEI: 549300VDIGTMXUNT7H71       | Long             | EC               | CORP              | IE        |     40803 | NS      | $12996163.53  | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Trane Technologies plc                               | Trane Technologies plc                                                     | CUSIP: N/A<br>LEI: 549300BURLR9SLYY2705       | Long             | EC               | CORP              | IE        |     30046 | NS      | $11693903.20  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 2 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       812 | NC      | $-110439.76   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -198 | NC      | $174040.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury Long Bonds                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       157 | NC      | $-280595.74   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Ultra Bonds                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -108 | NC      | $54880.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                         | Royal Caribbean Cruises Ltd.                                               | CUSIP: N/A<br>LEI: K2NEH8QNVW44JIWK7Z55       | Long             | EC               | CORP              | LR        |     55290 | NS      | $15421486.80  | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury Ultra Bonds                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        52 | NC      | $-112941.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer