# EDGAR Filing Document

**Accession Number:** 0001738077
**File Stem:** 0001410368-26-016961
**Filing Date:** 2026-2
**Character Count:** 933544
**Document Hash:** 7939f7045312b79905901df58f60e984
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-016961.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0001410368-26-016961

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23343
- **FILM NUMBER:** 26668851

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 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:** $807843498.36

**Total Liabilities:** $85307204.80

**Net Assets:** $722536293.56

**Delayed Delivery Securities:** $70000.00

**Cash Not Reported:** $9352840.92

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 13941.52000000 | **1-Year:** 17256.09000000 | **5-Year:** 127463.94000000 | **10-Year:** 56373.95000000 | **30-Year:** 62988.08000000

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

- **3-Month:** 5872.13000000 | **1-Year:** -13535.93000000 | **5-Year:** 30218.57000000 | **10-Year:** 57776.86000000 | **30-Year:** -54480.09000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202350 | 0.52%                | 0.63%                | -0.10%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $101703.63               | $1163438.46                                |
| Month 2  | $-237854.62              | $1838254.01                                |
| Month 3  | $4722.99                 | $-3106956.89                               |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACHV ABS TRUST                                                                   | ACHV ABS TRUST 2024-1PL                                                         | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     291434 | PA      | $295071.40    | 0.04%             | 2031-04-25      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                        | Aflac Inc                                                                       | CUSIP: 001055AY8<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |      45000 | PA      | $39658.11     | 0.01%             | 2049-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                   | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     260000 | PA      | $236796.74    | 0.03%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                   | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     140000 | PA      | $128372.29    | 0.02%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                                                     | ADT Security Corp/The                                                           | CUSIP: 00109LAB9<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     150000 | PA      | $151859.03    | 0.02%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      30000 | PA      | $20280.14     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                         | CUSIP: 00115AAP4<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     130000 | PA      | $110198.66    | 0.02%             | 2052-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |     173000 | PA      | $153741.38    | 0.02%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |     275000 | PA      | $288368.30    | 0.04%             | 2029-01-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: —       |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                | CUSIP: 00164VAK9<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |     206000 | PA      | $227576.57    | 0.03%             | 2032-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: —       |
| APLD COMPUTECO LLC                                                               | APLD ComputeCo LLC                                                              | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     395000 | PA      | $387455.66    | 0.05%             | 2030-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                        | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     385000 | PA      | $366115.16    | 0.05%             | 2039-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                        | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     924000 | PA      | $919326.12    | 0.13%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                        | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2185693.33   | 0.30%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                              | Abbott Laboratories                                                             | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |     265000 | PA      | $249511.26    | 0.03%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     135000 | PA      | $120082.74    | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     145000 | PA      | $131127.59    | 0.02%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      50000 | PA      | $44633.22     | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     260000 | PA      | $252764.80    | 0.03%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YDX4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     165000 | PA      | $160188.51    | 0.02%             | 2064-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                                            | Accenture Capital Inc                                                           | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |      95000 | PA      | $93647.71     | 0.01%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                                           | Acrisure LLC / Acrisure Finance Inc                                             | CUSIP: 004961AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $51505.40     | 0.01%             | 2032-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ACUSHNET CO                                                                      | Acushnet Co                                                                     | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |      65000 | PA      | $65730.33     | 0.01%             | 2033-12-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                                               | Advance Auto Parts Inc                                                          | CUSIP: 00751YAK2<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     212000 | PA      | $213122.54    | 0.03%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                                               | Advance Auto Parts Inc                                                          | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     285000 | PA      | $286131.45    | 0.04%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| AECOM                                                                            | AECOM                                                                           | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |      66000 | PA      | $67640.76     | 0.01%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBM6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1300000 | PA      | $1297455.51   | 0.18%             | 2034-09-10      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC                                                               | Osaic Holdings Inc                                                              | CUSIP: 00791GAB3<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |      25000 | PA      | $26115.50     | 0.00%             | 2032-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OSAIC HOLDINGS INC                                                               | Osaic Holdings Inc                                                              | CUSIP: 00791GAC1<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |      15000 | PA      | $15595.44     | 0.00%             | 2033-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AETHON UN/AETHIN UN FIN                                                          | Aethon United BR LP / Aethon United Finance Corp                                | CUSIP: 00810GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      96000 | PA      | $100576.90    | 0.01%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust Series 2025-3                                               | CUSIP: 00833BAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1460000 | PA      | $1457842.12   | 0.20%             | 2034-10-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust Series 2025-3                                               | CUSIP: 00833BAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2600000 | PA      | $2600060.84   | 0.36%             | 2034-10-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                       | CUSIP: 00833QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1050000 | PA      | $1051961.82   | 0.15%             | 2029-12-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                       | CUSIP: 00833QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     525000 | PA      | $529494.68    | 0.07%             | 2029-12-17      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-A                                        | CUSIP: 00834BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1250000 | PA      | $1251971.50   | 0.17%             | 2029-02-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-X1                                       | CUSIP: 00834KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     381029 | PA      | $382825.78    | 0.05%             | 2028-11-15      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2005595.80   | 0.28%             | 2030-04-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2017820.60   | 0.28%             | 2030-04-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X1                                       | CUSIP: 00834XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750000 | PA      | $1751065.93   | 0.24%             | 2029-05-15      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-B                                        | CUSIP: 00835AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3504410.70   | 0.49%             | 2029-09-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X2                                       | CUSIP: 00835DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     750000 | PA      | $751363.65    | 0.10%             | 2030-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| AIR PRODUCTS & CHEMICALS                                                         | Air Products and Chemicals Inc                                                  | CUSIP: 009158AZ9<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |      87000 | PA      | $65253.80     | 0.01%             | 2040-05-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                                                 | Alabama Power Co                                                                | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     370000 | PA      | $263143.90    | 0.04%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ALLEGION PLC                                                                     | Allegion plc                                                                    | CUSIP: 01748TAB7<br>LEI: 984500560CAC2E6FB757 | Long             | DBT              | CORP              | IE        |      90000 | PA      | $87733.57     | 0.01%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                                                            | Bread Financial Holdings Inc                                                    | CUSIP: 018581AR9<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103531.50    | 0.01%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| ALLINA HEALTH SYSTEM                                                             | Allina Health System                                                            | CUSIP: 01959LAE2<br>LEI: 5493001V00JCD7SQ0G44 | Long             | DBT              | CORP              | US        |     230000 | PA      | $144615.16    | 0.02%             | 2051-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1001375 | PA      | $926897.73    | 0.13%             | 2040-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     650000 | PA      | $525278.66    | 0.07%             | 2055-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1175000 | PA      | $993150.40    | 0.14%             | 2055-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350000 | PA      | $309517.58    | 0.04%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     975000 | PA      | $962163.14    | 0.13%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $189684.91    | 0.03%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042616<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1125000 | PA      | $1098159.94   | 0.15%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3825000 | PA      | $3814242.19   | 0.53%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3954532.10   | 0.55%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20666500 | PA      | $21218863.26  | 2.94%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     412500 | PA      | $428686.74    | 0.06%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                    | Allstate Corp/The                                                               | CUSIP: 020002BL4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |     470000 | PA      | $485468.52    | 0.07%             | 2029-06-24      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                              | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      28000 | PA      | $28181.18     | 0.00%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                             | Alpha Generation LLC                                                            | CUSIP: 02073LAC5<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |      29000 | PA      | $29260.33     | 0.00%             | 2034-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                    | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     335000 | PA      | $171619.88    | 0.02%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1975000 | PA      | $1964479.67   | 0.27%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     727000 | PA      | $749277.16    | 0.10%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     600000 | PA      | $599874.04    | 0.08%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBK8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     215000 | PA      | $172333.43    | 0.02%             | 2050-05-06      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1370636.56   | 0.19%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     430000 | PA      | $303859.94    | 0.04%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBP7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     965000 | PA      | $699437.07    | 0.10%             | 2061-02-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     135000 | PA      | $140357.81    | 0.02%             | 2035-02-06      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| AMER SPORTS COMPANY                                                              | Amer Sports Co                                                                  | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |     269000 | PA      | $281355.17    | 0.04%             | 2031-02-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| AMEREN ILLINOIS CO                                                               | Ameren Illinois Co                                                              | CUSIP: 02361DBB5<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |      75000 | PA      | $73741.66     | 0.01%             | 2054-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                            | American Airlines Inc                                                           | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     132000 | PA      | $138057.74    | 0.02%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     186000 | PA      | $186573.10    | 0.03%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DK2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     255000 | PA      | $266317.34    | 0.04%             | 2034-07-28      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     720000 | PA      | $728363.09    | 0.10%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1155000 | PA      | $1199663.49   | 0.17%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     390000 | PA      | $385100.96    | 0.05%             | 2036-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                           | American Honda Finance Corp                                                     | CUSIP: 02665WFE6<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |     450000 | PA      | $459808.79    | 0.06%             | 2029-03-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                                                           | American International Group Inc                                                | CUSIP: 026874DW4<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     470000 | PA      | $481685.39    | 0.07%             | 2030-05-07      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     280000 | PA      | $292300.22    | 0.04%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      60000 | PA      | $61437.15     | 0.01%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCM0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      70000 | PA      | $72055.13     | 0.01%             | 2035-01-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                     | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     270000 | PA      | $255940.72    | 0.04%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                     | CUSIP: 03040WBC8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |      65000 | PA      | $63019.97     | 0.01%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAP0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    1427000 | PA      | $1414354.07   | 0.20%             | 2027-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     117000 | PA      | $107794.37    | 0.01%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     420000 | PA      | $429318.57    | 0.06%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     155000 | PA      | $158418.54    | 0.02%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| AMERIPRISE FINANCIAL INC                                                         | Ameriprise Financial Inc                                                        | CUSIP: 03076CAN6<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |     720000 | PA      | $754697.11    | 0.10%             | 2028-12-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     283000 | PA      | $293400.69    | 0.04%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                       | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     800000 | PA      | $793799.18    | 0.11%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     165000 | PA      | $161567.62    | 0.02%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC                                                             | Amkor Technology Inc                                                            | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |     160000 | PA      | $163300.55    | 0.02%             | 2033-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMNEAL PHARMACEUTICALS L                                                         | Amneal Pharmaceuticals LLC                                                      | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |     189000 | PA      | $199642.59    | 0.03%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                                     | ams-OSRAM AG                                                                    | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |     195000 | PA      | $207123.74    | 0.03%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AU9<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     385000 | PA      | $363403.26    | 0.05%             | 2028-10-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     240000 | PA      | $177016.51    | 0.02%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |      30000 | PA      | $19462.73     | 0.00%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                                                         | Antero Midstream Partners LP / Antero Midstream Finance Corp                    | CUSIP: 03690AAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      55000 | PA      | $55332.15     | 0.01%             | 2033-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                                                         | Antero Midstream Partners LP / Antero Midstream Finance Corp                    | CUSIP: 03690AAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $75567.06     | 0.01%             | 2034-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| APOLLO CMMRL REAL EST FI                                                         | Apollo Commercial Real Estate Finance Inc                                       | CUSIP: 03762UAD7<br>LEI: 549300E0AN7M2AQHSY29 | Long             | DBT              |  | US        |     110000 | PA      | $106388.10    | 0.01%             | 2029-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                             | Appalachian Power Co                                                            | CUSIP: 037735CW5<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |      90000 | PA      | $89140.58     | 0.01%             | 2027-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                   | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     350000 | PA      | $359003.80    | 0.05%             | 2029-12-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     815000 | PA      | $845130.48    | 0.12%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                                           | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC     | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     313000 | PA      | $294653.72    | 0.04%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES MANAGEMENT CORP                                                             | Ares Management Corp                                                            | CUSIP: 03990BAB7<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |     463000 | PA      | $438550.94    | 0.06%             | 2054-10-11      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     352000 | PA      | $347480.83    | 0.05%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     425000 | PA      | $406171.62    | 0.06%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBL6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197541.68    | 0.03%             | 2031-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                       | CUSIP: 040555CW2<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     300000 | PA      | $295228.73    | 0.04%             | 2027-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                       | CUSIP: 040555DH4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |      50000 | PA      | $52561.50     | 0.01%             | 2034-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                            | Arrow Electronics Inc                                                           | CUSIP: 04273WAE1<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     880000 | PA      | $917986.30    | 0.13%             | 2034-04-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAG4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     235000 | PA      | $259654.77    | 0.04%             | 2054-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ASSURED GUARANTY US HLDG                                                         | Assured Guaranty US Holdings Inc                                                | CUSIP: 04621WAF7<br>LEI: 5493007YCE0652G9TZ64 | Long             | DBT              | CORP              | US        |     335000 | PA      | $351916.30    | 0.05%             | 2028-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                                     | Assurant Inc                                                                    | CUSIP: 04621XAQ1<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |     305000 | PA      | $309895.34    | 0.04%             | 2036-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOL                                                         | Aston Martin Capital Holdings Ltd                                               | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |     211000 | PA      | $196387.45    | 0.03%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                                                  | AstraZeneca PLC                                                                 | CUSIP: 046353AM0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $176161.11    | 0.02%             | 2045-11-16      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                              | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |      30000 | PA      | $20960.97     | 0.00%             | 2051-05-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                              | CUSIP: 04686JAE1<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |      55000 | PA      | $34740.79     | 0.00%             | 2052-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| ATLANTIC CITY ELECTRIC                                                           | Atlantic City Electric Co                                                       | CUSIP: 048303CJ8<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |     370000 | PA      | $335325.76    | 0.05%             | 2031-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ATLANTICUS HOLDINGS CORP                                                         | Atlanticus Holdings Corp                                                        | CUSIP: 04914AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     152000 | PA      | $152189.85    | 0.02%             | 2030-09-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560AT2<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26313.29     | 0.00%             | 2031-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560AY1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     105000 | PA      | $106091.14    | 0.01%             | 2052-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560BE4<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |      40000 | PA      | $38697.42     | 0.01%             | 2056-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AUTOMATIC DATA PROCESSNG                                                         | Automatic Data Processing Inc                                                   | CUSIP: 053015AJ2<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | DBT              | CORP              | US        |     680000 | PA      | $696455.04    | 0.10%             | 2032-05-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BC5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     180000 | PA      | $181642.13    | 0.03%             | 2028-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BE1<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     920000 | PA      | $925202.67    | 0.13%             | 2026-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      65000 | PA      | $67289.10     | 0.01%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     145000 | PA      | $162866.56    | 0.02%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     170000 | PA      | $192740.13    | 0.03%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     420000 | PA      | $386887.30    | 0.05%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      25000 | PA      | $29200.96     | 0.00%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     190000 | PA      | $201575.82    | 0.03%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1284852.59   | 0.18%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AZ1<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    1575000 | PA      | $1599546.15   | 0.22%             | 2028-02-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451BA5<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |     565000 | PA      | $576520.34    | 0.08%             | 2033-02-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                      | BBCMS Mortgage Trust 2023-C22                                                   | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $669485.34    | 0.09%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| BKV UPSTREAM MIDSTREAM L                                                         | BKV Upstream Midstream LLC                                                      | CUSIP: 05619CAA3<br>LEI: 254900LG75NBYHBBAU18 | Long             | DBT              | CORP              | US        |     220000 | PA      | $222919.40    | 0.03%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BALDWIN INSUR GRP/FIN                                                            | Baldwin Insurance Group Holdings LLC / Baldwin Insurance Group Holdings Finance | CUSIP: 05825XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     224000 | PA      | $232085.79    | 0.03%             | 2031-05-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                                         | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     170000 | PA      | $108739.82    | 0.02%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $393213.99    | 0.05%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1800000 | PA      | $1865518.58   | 0.26%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      91000 | PA      | $72912.79     | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     830000 | PA      | $819411.78    | 0.11%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     225000 | PA      | $221319.57    | 0.03%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     775000 | PA      | $785973.31    | 0.11%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     735000 | PA      | $763747.08    | 0.11%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     325000 | PA      | $338558.80    | 0.05%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1370000 | PA      | $1428359.07   | 0.20%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     780000 | PA      | $812758.29    | 0.11%             | 2036-02-12      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368FAJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     435000 | PA      | $428708.15    | 0.06%             | 2027-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     215000 | PA      | $215804.25    | 0.03%             | 2027-09-10      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368LWU6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      20000 | PA      | $20852.05     | 0.00%             | 2028-09-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                           | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBP1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     270000 | PA      | $270977.30    | 0.04%             | 2034-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                                         | CUSIP: 0641593U8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     550000 | PA      | $547500.56    | 0.08%             | 2026-03-02      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                    | Banner Health                                                                   | CUSIP: 06654DAC1<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |     119000 | PA      | $81078.82     | 0.01%             | 2050-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: —       |
| BAUSCH + LOMB CORP                                                               | Bausch + Lomb Corp                                                              | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |     140000 | PA      | $146125.00    | 0.02%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                            | Bausch Health Cos Inc                                                           | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     135000 | PA      | $139838.39    | 0.02%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     100000 | PA      | $105492.41    | 0.01%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024NU2<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      25000 | PA      | $28354.93     | 0.00%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024XW7<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     140000 | PA      | $92894.06     | 0.01%             | 2055-04-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: —       |
| BAYLOR SCOTT & WHITE HOL                                                         | Baylor Scott & White Holdings                                                   | CUSIP: 072863AJ2<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |      92000 | PA      | $58249.16     | 0.01%             | 2050-11-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                                                            | Belron UK Finance PLC                                                           | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |     136000 | PA      | $138881.84    | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                    | CUSIP: 084659AR2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     200000 | PA      | $166772.91    | 0.02%             | 2049-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CQ2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     125000 | PA      | $104317.40    | 0.01%             | 2048-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      95000 | PA      | $61107.00     | 0.01%             | 2050-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     175000 | PA      | $134663.00    | 0.02%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH                                                         | Beth Israel Lahey Health Inc                                                    | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |     169000 | PA      | $110602.81    | 0.02%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: —       |
| BLACK HILLS CORP                                                                 | Black Hills Corp                                                                | CUSIP: 092113AX7<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     150000 | PA      | $159966.83    | 0.02%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR                                                           | Blackstone Mortgage Trust Inc                                                   | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              |  | US        |     169000 | PA      | $180308.97    | 0.02%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                                                          | Blue Bridge Funding 2023-1 LLC                                                  | CUSIP: 09531MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     165580 | PA      | $166975.05    | 0.02%             | 2030-11-15      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | Blue Owl Finance LLC                                                            | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     970000 | PA      | $1000259.14   | 0.14%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                   | Bombardier Inc                                                                  | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     168000 | PA      | $179028.86    | 0.02%             | 2031-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                   | Bombardier Inc                                                                  | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     276000 | PA      | $291728.14    | 0.04%             | 2033-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                                                         | Brighthouse Financial Inc                                                       | CUSIP: 10922NAH6<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |     120000 | PA      | $72220.48     | 0.01%             | 2051-12-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                    | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      80000 | PA      | $79662.72     | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD CAPITAL FIN                                                           | Brookfield Capital Finance LLC                                                  | CUSIP: 11259NAA2<br>LEI: 254900P8CLQEIJ039941 | Long             | DBT              | CORP              | US        |     145000 | PA      | $155059.79    | 0.02%             | 2033-06-14      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | Brookfield Finance Inc                                                          | CUSIP: 11271LAM4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $517075.22    | 0.07%             | 2035-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | Brookfield Finance Inc                                                          | CUSIP: 11271LAQ5<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     275000 | PA      | $275391.80    | 0.04%             | 2036-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     120000 | PA      | $116116.37    | 0.02%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     340000 | PA      | $296523.87    | 0.04%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AG6<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     230000 | PA      | $237313.08    | 0.03%             | 2034-06-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                                         | Burford Capital Global Finance LLC                                              | CUSIP: 12116LAC3<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48757.62     | 0.01%             | 2030-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                                         | Burford Capital Global Finance LLC                                              | CUSIP: 12116LAE9<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |     220000 | PA      | $226513.54    | 0.03%             | 2031-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                         | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     383000 | PA      | $252405.50    | 0.03%             | 2051-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     140000 | PA      | $138420.77    | 0.02%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     132000 | PA      | $118474.92    | 0.02%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      31000 | PA      | $31426.12     | 0.00%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     355000 | PA      | $362273.08    | 0.05%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| CBRE SERVICES INC                                                                | CBRE Services Inc                                                               | CUSIP: 12505BAG5<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     500000 | PA      | $534214.79    | 0.07%             | 2034-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                              | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     880000 | PA      | $847214.02    | 0.12%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                              | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     610000 | PA      | $568210.04    | 0.08%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                         | Viridien                                                                        | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     150000 | PA      | $158172.24    | 0.02%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                               | CNA Financial Corp                                                              | CUSIP: 126117AZ3<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     400000 | PA      | $401909.18    | 0.06%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC Holdings LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     150000 | PA      | $128612.85    | 0.02%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC Holdings LLC                                                                | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     351000 | PA      | $279278.52    | 0.04%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                          | CRH America Finance Inc                                                         | CUSIP: 12636YAF9<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    1235000 | PA      | $1285320.14   | 0.18%             | 2035-01-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                         | CSX Corp                                                                        | CUSIP: 126408HE6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     800000 | PA      | $791558.42    | 0.11%             | 2026-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                         | CSX Corp                                                                        | CUSIP: 126408HY2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |      55000 | PA      | $49286.72     | 0.01%             | 2055-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| CNX RESOURCES CORP                                                               | CNX Resources Corp                                                              | CUSIP: 12653CAK4<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     112000 | PA      | $115978.38    | 0.02%             | 2031-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| CNX RESOURCES CORP                                                               | CNX Resources Corp                                                              | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     136000 | PA      | $141970.39    | 0.02%             | 2032-03-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR Energy Inc                                                                  | CUSIP: 12662PAF5<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |     142000 | PA      | $145954.33    | 0.02%             | 2029-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS/CVR NITROGE                                                         | CVR Partners LP / CVR Nitrogen Finance Corp                                     | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     193000 | PA      | $193524.19    | 0.03%             | 2028-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     126000 | PA      | $131590.62    | 0.02%             | 2054-12-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     128000 | PA      | $134278.15    | 0.02%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     400000 | PA      | $408268.26    | 0.06%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                 | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     700000 | PA      | $716527.28    | 0.10%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       3800 | PA      | $3924.18      | 0.00%             | 2034-03-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     660000 | PA      | $661747.94    | 0.09%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     260000 | PA      | $267890.47    | 0.04%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     205000 | PA      | $208073.71    | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                           | CACI International Inc                                                          | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |     128000 | PA      | $132438.87    | 0.02%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                                         | California Resources Corp                                                       | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |     259000 | PA      | $270909.01    | 0.04%             | 2029-06-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                                         | California Resources Corp                                                       | CUSIP: 13057QAL1<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      90000 | PA      | $88654.35     | 0.01%             | 2034-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                   | CUSIP: 13063BJC7<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     150000 | PA      | $183602.79    | 0.03%             | 2040-11-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                   | CUSIP: 13063DGC6<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     200000 | PA      | $199527.38    | 0.03%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| California State University                                                      | CALIFORNIA ST UNIV REVENUE                                                      | CUSIP: 13077DKU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     145000 | PA      | $96824.77     | 0.01%             | 2051-11-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PROD                                                           | Calumet Specialty Products Partners LP / Calumet Finance Corp                   | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     181000 | PA      | $182922.22    | 0.03%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| CANADIAN IMPERIAL BANK                                                           | Canadian Imperial Bank of Commerce                                              | CUSIP: 13608JAA5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     300000 | PA      | $310665.77    | 0.04%             | 2029-04-08      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                                                          | Canadian Natural Resources Ltd                                                  | CUSIP: 136385AY7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $88009.63     | 0.01%             | 2047-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     105000 | PA      | $107692.43    | 0.01%             | 2033-05-10      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      93000 | PA      | $97598.91     | 0.01%             | 2029-06-08      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HDG7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     960000 | PA      | $994865.52    | 0.14%             | 2030-07-26      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     380000 | PA      | $396675.48    | 0.05%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                             | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |     158000 | PA      | $164156.98    | 0.02%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                             | CUSIP: 14149YBS6<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |     750000 | PA      | $773124.26    | 0.11%             | 2034-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                 | Carlisle Cos Inc                                                                | CUSIP: 142339AM2<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101338.86    | 0.01%             | 2040-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| CARVANA CO                                                                       | Carvana Co                                                                      | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     125690 | PA      | $131740.09    | 0.02%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     124165 | PA      | $121597.83    | 0.02%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     348884 | PA      | $341397.59    | 0.05%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAY4<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      55000 | PA      | $40024.77     | 0.01%             | 2052-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      75000 | PA      | $67081.99     | 0.01%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBD9<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30973.32     | 0.00%             | 2028-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBH0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     125000 | PA      | $125890.47    | 0.02%             | 2035-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                                           | CenterPoint Energy Resources Corp                                               | CUSIP: 15189YAG1<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |      85000 | PA      | $87107.27     | 0.01%             | 2028-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CENTURY ALUMINUM COMPANY                                                         | Century Aluminum Co                                                             | CUSIP: 156431AS7<br>LEI: 549300U5ODNGEYWKSW73 | Long             | DBT              | CORP              | US        |     141000 | PA      | $145273.14    | 0.02%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CENTURY COMMUNITIES                                                              | Century Communities Inc                                                         | CUSIP: 156504AN2<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |       5000 | PA      | $5055.99      | 0.00%             | 2033-09-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| CHAMPION IRON CANADA INC                                                         | Champion Iron Canada Inc                                                        | CUSIP: 15853BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     100000 | PA      | $106165.00    | 0.01%             | 2032-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     385000 | PA      | $231665.00    | 0.03%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                                    | Chase Funding Trust Series 2004-2                                               | CUSIP: 161546JS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      48456 | PA      | $47436.99     | 0.01%             | 2035-02-26      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                              | Cheniere Energy Inc                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     600000 | PA      | $622427.99    | 0.09%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                            | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     160000 | PA      | $161547.28    | 0.02%             | 2027-06-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                              | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     297000 | PA      | $307356.52    | 0.04%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                                  | Chevron USA Inc                                                                 | CUSIP: 166756BF2<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    2160000 | PA      | $2212801.31   | 0.31%             | 2035-04-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                     | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      60000 | PA      | $40683.08     | 0.01%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Chicago O'Hare International Airport                                             | CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE                                    | CUSIP: 167593H62<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      65000 | PA      | $56964.14     | 0.01%             | 2049-01-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                                             | Chile Government International Bonds                                            | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     650000 | PA      | $403975.00    | 0.06%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CIPHER COMPUTE LLC                                                               | Cipher Compute LLC                                                              | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      60000 | PA      | $61108.97     | 0.01%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: —       |
| CISCO SYSTEMS INC                                                                | Cisco Systems Inc                                                               | CUSIP: 17275RBY7<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1032048.26   | 0.14%             | 2032-02-24      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2285000 | PA      | $2117125.37   | 0.29%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     283000 | PA      | $296411.59    | 0.04%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     270000 | PA      | $272191.74    | 0.04%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2013-A                                            | CUSIP: 17320XAA2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       3474 | PA      | $3198.55      | 0.00%             | 2042-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                             | Cleveland-Cliffs Inc                                                            | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     205000 | PA      | $214229.30    | 0.03%             | 2034-01-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: —       |
| CLOUD SOFTWARE GRP INC                                                           | Cloud Software Group Inc                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     116000 | PA      | $120815.21    | 0.02%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                                           | Cloud Software Group Inc                                                        | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104504.02    | 0.01%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DL1<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      90000 | PA      | $60094.46     | 0.01%             | 2051-03-05      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DS6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     610000 | PA      | $598792.43    | 0.08%             | 2054-05-13      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DT4<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     400000 | PA      | $388549.37    | 0.05%             | 2064-05-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN                                                           | Cogent Communications Group LLC / Cogent Finance Inc                            | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |     111000 | PA      | $111074.59    | 0.02%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| COGENT COMMS GRP / FIN                                                           | Cogent Communications Group LLC / Cogent Finance Inc                            | CUSIP: 19240WAA7<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |     120000 | PA      | $119955.78    | 0.02%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                             | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     312000 | PA      | $297224.87    | 0.04%             | 2028-10-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                             | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      81000 | PA      | $72217.21     | 0.01%             | 2031-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: —       |
| COLGATE-PALMOLIVE CO                                                             | Colgate-Palmolive Co                                                            | CUSIP: 194162AP8<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |      90000 | PA      | $84798.03     | 0.01%             | 2032-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COLGATE-PALMOLIVE CO                                                             | Colgate-Palmolive Co                                                            | CUSIP: 19416QEK2<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |      30000 | PA      | $23662.14     | 0.00%             | 2047-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                     | Comcast Corp                                                                    | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     200000 | PA      | $196918.16    | 0.03%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                             | Commercial Metals Co                                                            | CUSIP: 201723AS2<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      65000 | PA      | $66464.58     | 0.01%             | 2033-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                             | Commercial Metals Co                                                            | CUSIP: 201723AV5<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     120000 | PA      | $123018.70    | 0.02%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     339000 | PA      | $253187.65    | 0.04%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JP6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      90000 | PA      | $70141.79     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JR2<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     190000 | PA      | $175935.43    | 0.02%             | 2030-03-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JT8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      70000 | PA      | $46421.97     | 0.01%             | 2051-03-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE LLC                                                                    | CommScope LLC                                                                   | CUSIP: 20338MAA0<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |     170000 | PA      | $171706.84    | 0.02%             | 2031-12-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: —       |
| COMMSCOPE LLC                                                                    | CommScope LLC                                                                   | CUSIP: 20338QAA1<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |      82000 | PA      | $82636.39     | 0.01%             | 2027-03-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                                                         | Connect Finco SARL / Connect US Finco LLC                                       | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     280000 | PA      | $297006.98    | 0.04%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753TAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1227229 | PA      | $1248858.36   | 0.17%             | 2039-06-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753VBE7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3607064.30   | 0.50%             | 2040-02-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAF1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    2860000 | PA      | $3032700.53   | 0.42%             | 2042-03-25      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753YAF9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $3564942.16   | 0.49%             | 2042-03-25      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753YCK6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3584771.40   | 0.50%             | 2042-03-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754AAF0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    4625000 | PA      | $4693610.95   | 0.65%             | 2041-12-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAB7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    3540000 | PA      | $3603815.93   | 0.50%             | 2042-01-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAF8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1300000 | PA      | $1343414.93   | 0.19%             | 2042-01-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754DAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1323000 | PA      | $1352215.54   | 0.19%             | 2042-04-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754DAF4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1562197.35   | 0.22%             | 2042-04-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754GAF7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    2250000 | PA      | $2290795.88   | 0.32%             | 2044-02-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAF8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1900000 | PA      | $1936720.92   | 0.27%             | 2041-11-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754LAF6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    4042000 | PA      | $4118025.57   | 0.57%             | 2041-12-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAF3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    3250000 | PA      | $3302270.73   | 0.46%             | 2041-10-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754WAC9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1016768.10   | 0.14%             | 2040-01-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754XAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1690000 | PA      | $1695813.60   | 0.23%             | 2044-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT LIGHT & PWR                                                          | Connecticut Light and Power Co/The                                              | CUSIP: 207597ET8<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |      80000 | PA      | $82071.32     | 0.01%             | 2030-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                           | ConocoPhillips Co                                                               | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |      85000 | PA      | $62353.03     | 0.01%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111EL3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     500000 | PA      | $531252.03    | 0.07%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GK3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     130000 | PA      | $129580.16    | 0.02%             | 2054-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                                         | Constellation Energy Generation LLC                                             | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     175000 | PA      | $186755.57    | 0.03%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DN3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      72000 | PA      | $44503.98     | 0.01%             | 2052-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DQ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      60000 | PA      | $48160.82     | 0.01%             | 2052-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DU7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     110000 | PA      | $110326.23    | 0.02%             | 2033-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DW3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50812.03     | 0.01%             | 2029-05-30      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                            | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99804.26     | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                    | CoreWeave Inc                                                                   | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |     507000 | PA      | $471394.71    | 0.07%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| COREWEAVE INC                                                                    | CoreWeave Inc                                                                   | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |     216000 | PA      | $197968.32    | 0.03%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1375000 | PA      | $1138451.56   | 0.16%             | 2055-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1075000 | PA      | $927103.52    | 0.13%             | 2055-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1550000 | PA      | $1509554.69   | 0.21%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3500000 | PA      | $3491727.51   | 0.48%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3725000 | PA      | $3761119.05   | 0.52%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     325000 | PA      | $331182.62    | 0.05%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                            | Costco Wholesale Corp                                                           | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |     160000 | PA      | $138789.94    | 0.02%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                          | CUSIP: 225310AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     192000 | PA      | $200670.49    | 0.03%             | 2028-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                          | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     105000 | PA      | $105207.10    | 0.01%             | 2030-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     240000 | PA      | $222665.33    | 0.03%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 2254W0HE8<br>LEI: 549300ECVPNB3VQOQ826 | Long             | ABS-MBS          | CORP              | US        |       4495 | PA      | $2511.14      | 0.00%             | 2019-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     505000 | PA      | $445684.67    | 0.06%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                                          | DCP Midstream Operating LP                                                      | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |      17000 | PA      | $15629.28     | 0.00%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                                  | DTE Electric Co                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     217000 | PA      | $159755.75    | 0.02%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Dallas Fort Worth International Airport                                          | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE                                 | CUSIP: 2350368N3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     100000 | PA      | $72406.58     | 0.01%             | 2046-11-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Dallas Area Rapid Transit                                                        | DALLAS TX AREA RAPID TRANSIT SALES TAX REVENUE                                  | CUSIP: 235241WM4<br>LEI: 75YWM81F2R6UQGJIEW47 | Long             | DBT              | MUN               | US        |     100000 | PA      | $68549.05     | 0.01%             | 2048-12-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| DANAOS CORP                                                                      | Danaos Corp                                                                     | CUSIP: 23585WAC8<br>LEI: 734IM3DNDNT36T7YTD24 | Long             | DBT              | CORP              | MH        |     275000 | PA      | $284119.55    | 0.04%             | 2032-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AN5<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |     240000 | PA      | $260479.75    | 0.04%             | 2033-10-10      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AP0<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |     355000 | PA      | $356654.42    | 0.05%             | 2027-10-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AQ8<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |     355000 | PA      | $358266.71    | 0.05%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DaVita Inc                                                                      | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     123000 | PA      | $128038.82    | 0.02%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DaVita Inc                                                                      | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      90000 | PA      | $93320.37     | 0.01%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                      | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     370000 | PA      | $387820.71    | 0.05%             | 2029-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                      | CUSIP: 24665FAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      60000 | PA      | $61226.94     | 0.01%             | 2033-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                               | CUSIP: 25179MBG7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199118.03    | 0.03%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                               | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     300000 | PA      | $275668.89    | 0.04%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                              | CUSIP: 25243YBE8<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |     380000 | PA      | $330671.55    | 0.05%             | 2032-04-29      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                              | CUSIP: 25243YBH1<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |     725000 | PA      | $763438.44    | 0.11%             | 2033-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMOND FRGN/DIAMOND FIN                                                         | Diamond Foreign Asset Co / Diamond Finance LLC                                  | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      88000 | PA      | $93222.18     | 0.01%             | 2030-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     125000 | PA      | $134682.09    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                          | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     170000 | PA      | $160474.87    | 0.02%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                                            | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AH5<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |      80000 | PA      | $78453.25     | 0.01%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DIEBOLD NIXDORF INC                                                              | Diebold Nixdorf Inc                                                             | CUSIP: 253651AK9<br>LEI: 549300XZK6EWDBAZSY16 | Long             | DBT              | CORP              | US        |      25000 | PA      | $26604.14     | 0.00%             | 2030-03-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      57000 | PA      | $57334.59     | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     183000 | PA      | $187035.48    | 0.03%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     710000 | PA      | $837086.95    | 0.12%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                                         | Discovery Communications LLC                                                    | CUSIP: 25470DBY4<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80012.00     | 0.01%             | 2037-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS Corp                                                                   | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     156000 | PA      | $150840.91    | 0.02%             | 2028-07-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| DISH DBS CORP                                                                    | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     151000 | PA      | $148244.62    | 0.02%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| DIRECTV FINANCING LLC                                                            | Directv Financing LLC                                                           | CUSIP: 254945AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      39000 | PA      | $39459.97     | 0.01%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE T                                                         | Diversified Healthcare Trust                                                    | CUSIP: 25525PAB3<br>LEI: N/A                  | Long             | DBT              |  | US        |     179000 | PA      | $157524.83    | 0.02%             | 2031-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE T                                                         | Diversified Healthcare Trust                                                    | CUSIP: 25525PAE7<br>LEI: N/A                  | Long             | DBT              |  | US        |      25000 | PA      | $25562.20     | 0.00%             | 2030-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      58000 | PA      | $55960.58     | 0.01%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     140000 | PA      | $145345.30    | 0.02%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-1478.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED COP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CO        |          1 | NC      | $3243.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2344.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |          1 | NC      | $1177.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IN        |          1 | NC      | $277.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-16327.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED EUR / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |          1 | NC      | $-127.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |          1 | NC      | $-3242.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED EUR / SOLD NOK                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |          1 | NC      | $311.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CZK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CZ        |          1 | NC      | $4757.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED THB / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | TH        |          1 | NC      | $11745.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED SEK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $6183.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED KRW / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $6351.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD NZD                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $4301.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-3193.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED EUR / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-9486.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $53781.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED SGD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SG        |          1 | NC      | $4234.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $1682.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |          1 | NC      | $-2548.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD JPY                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $676.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |          1 | NC      | $1676.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED USD / SOLD MXN                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-12372.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED CLP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CL        |          1 | NC      | $33487.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                                              | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | XX        |          1 | NC      | $18936.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD IDR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-47.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CLP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CL        |          1 | NC      | $6273.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |          1 | NC      | $-13537.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |          1 | NC      | $2759.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-3175.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD BRL                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-481.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $1047.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED TWD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | TW        |          1 | NC      | $-4908.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED HUF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | HU        |          1 | NC      | $227.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED SGD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | SG        |          1 | NC      | $1168.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1972.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1322.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED NOK / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NO        |          1 | NC      | $84.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-498.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD THB                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-2653.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-337.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $-262.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NZ        |          1 | NC      | $-4635.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $-802.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD SGD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-690.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-1272.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD IDR                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $326.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $546.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-169.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED EUR / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |          1 | NC      | $-799.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED USD / SOLD THB                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-911.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED EUR / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $-189.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-316.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PH        |          1 | NC      | $327.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NZ        |          1 | NC      | $-2395.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD COP                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $2258.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED USD / SOLD THB                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $231.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |          1 | NC      | $153.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-618.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |          1 | NC      | $5217.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $-959.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $-1205.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | PH        |          1 | NC      | $-628.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $-2612.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | NZ        |          1 | NC      | $-275.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $544.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD SGD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-313.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | IN        |          1 | NC      | $2358.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED TWD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | TW        |          1 | NC      | $-1670.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED HUF / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | HU        |          1 | NC      | $1009.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1535.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |          1 | NC      | $179.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-319.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3247.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |          1 | NC      | $-63.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED EUR / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |          1 | NC      | $-1675.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |          1 | NC      | $2604.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $-1781.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $4285.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-612.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2290.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD KRW                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-6324.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | IN        |          1 | NC      | $1105.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |          1 | NC      | $67.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD BRL                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1103.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $42.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-255.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PH        |          1 | NC      | $-1925.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1963.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED PLN / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |          1 | NC      | $-170.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED EUR / SOLD NOK                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |          1 | NC      | $-713.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |          1 | NC      | $5858.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1650.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-390.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1532.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $1304.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED THB / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $32.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | IN        |          1 | NC      | $1652.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NZ        |          1 | NC      | $-693.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | MX        |          1 | NC      | $231.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PH        |          1 | NC      | $-1204.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD CLP                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1811.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |          1 | NC      | $2.70         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD COP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-1142.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |          1 | NC      | $-1181.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $70.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | GB        |          1 | NC      | $7347.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-757.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1197.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | IN        |          1 | NC      | $-17.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-739.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD KRW                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-4174.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PH        |          1 | NC      | $-426.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD COP                                                        | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1441.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $2057.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $-185.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-342.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD THB                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $774.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED SGD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | SG        |          1 | NC      | $-31.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |          1 | NC      | $-396.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $884.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $1.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED TWD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TW        |          1 | NC      | $427.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED PHP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | PH        |          1 | NC      | $-354.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD KRW                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-5040.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |          1 | NC      | $-490.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED EUR / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $-3272.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED EUR / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |          1 | NC      | $-422.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | ID        |          1 | NC      | $763.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED EUR / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $251.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $91.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $59.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $338.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | BR        |          1 | NC      | $1118.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED USD / SOLD THB                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-915.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED EUR / SOLD CZK                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-822.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED COP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CO        |          1 | NC      | $-2132.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | ID        |          1 | NC      | $744.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $-986.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $-2849.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED EUR / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-62.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD MXN                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $486.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $-2225.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1872.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |          1 | NC      | $-383.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD INR                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-63.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2024-2                                             | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     790000 | PA      | $795019.34    | 0.11%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297442.15    | 0.04%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     530000 | PA      | $417128.43    | 0.06%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      60000 | PA      | $52969.95     | 0.01%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     180000 | PA      | $183526.58    | 0.03%             | 2029-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95932.37     | 0.01%             | 2053-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                             | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     100000 | PA      | $81731.65     | 0.01%             | 2049-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                        | CUSIP: 26442UAS3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      50000 | PA      | $51517.73     | 0.01%             | 2034-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                          | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAD8<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18991.53     | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                          | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAE6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |      60000 | PA      | $62140.09     | 0.01%             | 2034-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                          | Duke Energy Florida LLC                                                         | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      85000 | PA      | $91757.46     | 0.01%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                                | EOG Resources Inc                                                               | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     125000 | PA      | $122256.92    | 0.02%             | 2054-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| ERP OPERATING LP                                                                 | ERP Operating LP                                                                | CUSIP: 26884ABP7<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              |  | US        |     330000 | PA      | $326526.73    | 0.05%             | 2034-09-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS                                                                  | Eagle Materials Inc                                                             | CUSIP: 26969PAB4<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |     555000 | PA      | $504001.60    | 0.07%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                                                       | Eaton Corp                                                                      | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |      90000 | PA      | $80124.10     | 0.01%             | 2052-08-23      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                    | EchoStar Corp                                                                   | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     360000 | PA      | $368808.69    | 0.05%             | 2030-11-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                    | EchoStar Corp                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     325000 | PA      | $359385.39    | 0.05%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| ELDORADO GOLD CORP                                                               | Eldorado Gold Corp                                                              | CUSIP: 284902AF0<br>LEI: 5493004PWQ01YDD1IH62 | Long             | DBT              | CORP              | CA        |     138000 | PA      | $138678.96    | 0.02%             | 2029-09-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                         | Electricite de France SA                                                        | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      94000 | PA      | $109317.68    | 0.02%             | 2033-03-15      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                                              | Electronic Arts Inc                                                             | CUSIP: 285512AF6<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |     150000 | PA      | $138361.31    | 0.02%             | 2051-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     550000 | PA      | $566013.66    | 0.08%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBD1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     190000 | PA      | $195704.55    | 0.03%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| ENPRO INC                                                                        | Enpro Inc                                                                       | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |     152000 | PA      | $156848.19    | 0.02%             | 2033-06-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ENOVA INTERNATIONAL INC                                                          | Enova International Inc                                                         | CUSIP: 29357KAH6<br>LEI: 549300O8XOCQSB49UO63 | Long             | DBT              | CORP              | US        |     132000 | PA      | $139593.59    | 0.02%             | 2028-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| ENOVA INTERNATIONAL INC                                                          | Enova International Inc                                                         | CUSIP: 29357KAK9<br>LEI: 549300O8XOCQSB49UO63 | Long             | DBT              | CORP              | US        |     196000 | PA      | $208634.94    | 0.03%             | 2029-08-01      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                                                | Entergy Texas Inc                                                               | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     220000 | PA      | $156846.91    | 0.02%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                                             | Entergy Arkansas LLC                                                            | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30235.82     | 0.00%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                         | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |     180000 | PA      | $182940.89    | 0.03%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                         | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |      40000 | PA      | $40305.43     | 0.01%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                      | Equinor ASA                                                                     | CUSIP: 29446MAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     500000 | PA      | $348518.93    | 0.05%             | 2049-11-18      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                         | CUSIP: 29670GAD4<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |     180000 | PA      | $169013.83    | 0.02%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                         | CUSIP: 29670GAH5<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |      75000 | PA      | $77413.11     | 0.01%             | 2034-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SK INVICTUS INTERMEDIATE                                                         | SK Invictus Intermediate II Sarl                                                | CUSIP: 29977LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     234000 | PA      | $231706.02    | 0.03%             | 2029-10-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EVEREST REINSURANCE HLDG                                                         | Everest Reinsurance Holdings Inc                                                | CUSIP: 299808AH8<br>LEI: 254900P29PM5UJR3VU91 | Long             | DBT              | CORP              | US        |     800000 | PA      | $556753.38    | 0.08%             | 2050-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                                                       | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |      50000 | PA      | $47644.82     | 0.01%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                            | Evergy Kansas Central Inc                                                       | CUSIP: 30036FAA9<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |     130000 | PA      | $91646.03     | 0.01%             | 2050-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                                                     | Evergy Metro Inc                                                                | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |      35000 | PA      | $36409.97     | 0.01%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | Eversource Energy                                                               | CUSIP: 30040WAE8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     200000 | PA      | $196437.00    | 0.03%             | 2028-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                     | CUSIP: 30161NBL4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      70000 | PA      | $67841.35     | 0.01%             | 2053-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                     | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      45000 | PA      | $46267.13     | 0.01%             | 2029-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                                                         | Export-Import Bank of Korea                                                     | CUSIP: 302154DZ9<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |     220000 | PA      | $230742.60    | 0.03%             | 2033-09-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                                                                       | EZCORP Inc                                                                      | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |      55000 | PA      | $58352.69     | 0.01%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                          | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       5000 | PA      | $3585.56      | 0.00%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FORTESCUE TREASURY PTY L                                                         | Fortescue Treasury Pty Ltd                                                      | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |     168000 | PA      | $175305.25    | 0.02%             | 2032-04-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: —       |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                             | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     800000 | PA      | $777918.72    | 0.11%             | 2027-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                             | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     730000 | PA      | $735900.25    | 0.10%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                             | CUSIP: 302635AP2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     179000 | PA      | $176193.86    | 0.02%             | 2030-01-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                              | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     170000 | PA      | $162717.21    | 0.02%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                              | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     185000 | PA      | $186487.24    | 0.03%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     325000 | PA      | $311925.56    | 0.04%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                    | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1551217.15   | 0.21%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                    | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |     483000 | PA      | $448807.04    | 0.06%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                                                  | Fair Isaac Corp                                                                 | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     102000 | PA      | $104768.99    | 0.01%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     360000 | PA      | $339817.58    | 0.05%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BR2<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     330000 | PA      | $341796.17    | 0.05%             | 2054-03-22      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BU5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     254000 | PA      | $254632.29    | 0.04%             | 2055-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1368550 | PA      | $1380294.89   | 0.19%             | 2030-07-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53810 | PA      | $55889.44     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23246 | PA      | $25040.23     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51129 | PA      | $54931.55     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288BLZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2404 | PA      | $2489.40      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288DKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1723 | PA      | $1770.96      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288JBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56912 | PA      | $57760.39     | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUUA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49205 | PA      | $48404.64     | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19603 | PA      | $19022.59     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUWF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35272 | PA      | $34257.62     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128E6AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20044 | PA      | $19809.13     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128E6JK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8035 | PA      | $7941.45      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JPLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26124 | PA      | $26925.88     | 0.00%             | 2038-04-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JQAP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14045 | PA      | $14542.86     | 0.00%             | 2040-02-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JRH82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6353 | PA      | $6294.04      | 0.00%             | 2027-11-01      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128K8FX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7339 | PA      | $7541.27      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128KRWU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19025 | PA      | $19914.43     | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128L5LD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7512 | PA      | $7840.45      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128LLDM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $31.06        | 0.00%             | 2042-01-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXUP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59477 | PA      | $62958.09     | 0.01%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15026 | PA      | $15728.30     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5NN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8123 | PA      | $8599.03      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5QD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13032 | PA      | $13795.57     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6AP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10563 | PA      | $11017.94     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6AR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15209 | PA      | $15919.73     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31842 | PA      | $33223.83     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6UT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33489 | PA      | $35052.64     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        772 | PA      | $779.96       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7MH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16724 | PA      | $17504.27     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7S64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3686 | PA      | $3722.23      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36014 | PA      | $37697.93     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9KW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112354 | PA      | $113406.19    | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9R79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47407 | PA      | $45429.13     | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9SS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147333 | PA      | $140669.47    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52696 | PA      | $51481.23     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAET2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29827 | PA      | $29103.00     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21928 | PA      | $21155.88     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85404 | PA      | $80143.77     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41807 | PA      | $39273.09     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15011 | PA      | $15266.40     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148201 | PA      | $147369.49    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2860 | PA      | $2888.09      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15063 | PA      | $15879.46     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4176 | PA      | $4421.39      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41577 | PA      | $42804.62     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22654 | PA      | $22872.75     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49645 | PA      | $51110.70     | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJQH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161732 | PA      | $158493.96    | 0.02%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169215 | PA      | $161032.07    | 0.02%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443109 | PA      | $429386.58    | 0.06%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1181838 | PA      | $1077359.01   | 0.15%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101377 | PA      | $98142.87     | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     607895 | PA      | $588439.75    | 0.08%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91371 | PA      | $83094.67     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1476894 | PA      | $1341058.58   | 0.19%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179261 | PA      | $162726.49    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99933 | PA      | $94430.44     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3414 | PA      | $3443.41      | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7QT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6496 | PA      | $6551.13      | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7SJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295754 | PA      | $288215.35    | 0.04%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152923 | PA      | $147649.02    | 0.02%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8GW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33004 | PA      | $31933.16     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PUHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1425 | PA      | $1422.70      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PUYA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        473 | PA      | $471.41       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PYAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57699 | PA      | $57220.76     | 0.01%             | 2027-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128Q0DK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2016 | PA      | $2000.86      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128UGY27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3201 | PA      | $3333.10      | 0.00%             | 2041-07-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1138 | PA      | $1181.65      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292HK94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $316.77       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292KZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39086 | PA      | $40240.57     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48803 | PA      | $46606.03     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3129332E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21208 | PA      | $21415.76     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312938Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25012 | PA      | $25254.30     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312939CK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6200 | PA      | $6241.27      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3927 | PA      | $3965.34      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31293EAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        279 | PA      | $286.54       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312940EP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6316 | PA      | $6375.95      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312940RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1293 | PA      | $1306.20      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31295NJW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2416 | PA      | $2468.57      | 0.00%             | 2032-04-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296J3K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37631 | PA      | $38191.82     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296MF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9801 | PA      | $9966.45      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296UFG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4187 | PA      | $4249.33      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296XKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3245 | PA      | $3261.69      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296XUG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        970 | PA      | $984.34       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297F3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4902 | PA      | $5076.54      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297FFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31364 | PA      | $32269.49     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297M4D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45477 | PA      | $46154.89     | 0.01%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297P2C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30676 | PA      | $31529.13     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31298D3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        240 | PA      | $243.46       | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300LQK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10270 | PA      | $10701.35     | 0.00%             | 2041-08-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31323AB35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87870 | PA      | $81806.27     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31326FRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10541 | PA      | $10974.67     | 0.00%             | 2043-05-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31326FW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2551 | PA      | $2635.73      | 0.00%             | 2043-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259787 | PA      | $235680.91    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1144615 | PA      | $1038106.88   | 0.14%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     278504 | PA      | $251374.82    | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71200 | PA      | $70643.27     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     330575 | PA      | $328196.24    | 0.05%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132CWM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     849455 | PA      | $821697.04    | 0.11%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     621487 | PA      | $601606.69    | 0.08%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     353693 | PA      | $328284.69    | 0.05%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     266664 | PA      | $242074.56    | 0.03%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     440570 | PA      | $398775.21    | 0.06%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     685808 | PA      | $620748.58    | 0.09%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1376274 | PA      | $1273941.37   | 0.18%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138766 | PA      | $131253.77    | 0.02%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     907332 | PA      | $863258.27    | 0.12%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     668783 | PA      | $622195.58    | 0.09%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DSEB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173767 | PA      | $180602.87    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DSV74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96437 | PA      | $100322.09    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DTAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229884 | PA      | $239490.99    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DTFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     408931 | PA      | $432843.94    | 0.06%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68372 | PA      | $60700.87     | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     561947 | PA      | $485495.21    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191330 | PA      | $165678.17    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     795608 | PA      | $613865.61    | 0.08%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132E07G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192277 | PA      | $199761.38    | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132E0H62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88927 | PA      | $90479.73     | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GF5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4933 | PA      | $4969.99      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1998 | PA      | $2011.71      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5005 | PA      | $5042.58      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GMAK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5458 | PA      | $5466.34      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GUJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9541 | PA      | $9320.49      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52771 | PA      | $51686.56     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HMVZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58016 | PA      | $55403.69     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     834897 | PA      | $797482.05    | 0.11%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNRA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30355 | PA      | $29721.68     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J2SY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7850 | PA      | $7624.34      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4B40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31854 | PA      | $31175.12     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132JAEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170499 | PA      | $162769.68    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132KESL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158410 | PA      | $156505.15    | 0.02%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L74A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23545 | PA      | $22234.84     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L7LF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10645 | PA      | $10111.51     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8T31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108921 | PA      | $102621.76    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172955 | PA      | $163469.50    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L9V69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196511 | PA      | $184102.22    | 0.03%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     403479 | PA      | $380535.42    | 0.05%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21372 | PA      | $21237.13     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9050 | PA      | $8996.77      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132M7JN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141240 | PA      | $137506.91    | 0.02%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QL4T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7155 | PA      | $6934.64      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWMN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7619 | PA      | $7229.65      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWP29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32069 | PA      | $31052.51     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WDDB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1549 | PA      | $1547.78      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WEWJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21752 | PA      | $19828.79     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34692 | PA      | $32888.59     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFEV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1297 | PA      | $1295.12      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFNV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8600 | PA      | $8170.07      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WH6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4724 | PA      | $4461.19      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKQ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10382 | PA      | $9406.70      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23997 | PA      | $23862.91     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNJK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6139 | PA      | $6122.14      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398235 | PA      | $376457.78    | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78531 | PA      | $76546.56     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140953 | PA      | $140263.64    | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XS6Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17230 | PA      | $17537.36     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XUJV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8550 | PA      | $8296.85      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XW5W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5755 | PA      | $5602.88      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XXHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92290 | PA      | $86799.35     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y1GK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15022 | PA      | $14905.77     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y1GL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12077 | PA      | $12042.80     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     843046 | PA      | $769691.30    | 0.11%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     875075 | PA      | $798390.47    | 0.11%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335ANR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16842 | PA      | $16858.25     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36522 | PA      | $34714.49     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70412 | PA      | $66796.00     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49626 | PA      | $49592.64     | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38127 | PA      | $34742.60     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122560 | PA      | $118890.82    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BLL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22526 | PA      | $21502.44     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6255 | PA      | $5972.53      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389672 | PA      | $366703.88    | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328103 | PA      | $311381.31    | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45617 | PA      | $45587.00     | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147868 | PA      | $134272.35    | 0.02%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59548 | PA      | $54134.51     | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52481 | PA      | $50850.23     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113539 | PA      | $107676.00    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1539 | PA      | $1488.66      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30453 | PA      | $29479.04     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73548 | PA      | $69342.26     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31336SBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $146.63       | 0.00%             | 2032-09-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133A9NL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325221 | PA      | $265782.98    | 0.04%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218388 | PA      | $177906.95    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133AXHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     662026 | PA      | $569737.23    | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KHUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5772355 | PA      | $4775920.99   | 0.66%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     416080 | PA      | $355441.86    | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1102137 | PA      | $944564.98    | 0.13%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     570170 | PA      | $483483.05    | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289642 | PA      | $245986.40    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     898054 | PA      | $769856.51    | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261392 | PA      | $223741.33    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     766078 | PA      | $631134.71    | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     676083 | PA      | $575039.29    | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2074776 | PA      | $1703686.22   | 0.24%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1802251 | PA      | $1471648.67   | 0.20%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KNNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1404187 | PA      | $1246776.50   | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KQKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377687 | PA      | $379086.64    | 0.05%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KQXU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325287 | PA      | $325921.96    | 0.05%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KR5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     565554 | PA      | $591825.24    | 0.08%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KRFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198982 | PA      | $204019.14    | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91054 | PA      | $84341.85     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288653 | PA      | $267911.79    | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AUZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525895 | PA      | $520662.43    | 0.07%             | 2026-09-25      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AY7L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     949108 | PA      | $935960.44    | 0.13%             | 2027-12-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1393619 | PA      | $1373095.00   | 0.19%             | 2028-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2954796 | PA      | $2921902.11   | 0.40%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371KHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2536 | PA      | $2662.82      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371KP88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4231 | PA      | $4443.03      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371LR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15714 | PA      | $16366.08     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33649 | PA      | $33040.03     | 0.00%             | 2034-09-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31376JSZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        380 | PA      | $380.97       | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1424220 | PA      | $1418837.76   | 0.20%             | 2026-03-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1190000 | PA      | $1183008.16   | 0.16%             | 2026-10-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1514877 | PA      | $1506429.71   | 0.21%             | 2026-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1190000 | PA      | $1181166.51   | 0.16%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385H7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $358.72       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50401 | PA      | $52974.04     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60578 | PA      | $62179.80     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1870 | PA      | $1876.42      | 0.00%             | 2033-05-01      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55216 | PA      | $56725.03     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31387WTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        204 | PA      | $211.35       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389DHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7196 | PA      | $7466.17      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389MY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13103 | PA      | $13395.57     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389SVS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2933 | PA      | $3009.25      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389VBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        713 | PA      | $748.42       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28914 | PA      | $28834.80     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ABZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23540 | PA      | $23710.56     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8819 | PA      | $9198.00      | 0.00%             | 2041-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AQAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6371 | PA      | $6192.45      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ASL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9793 | PA      | $10263.22     | 0.00%             | 2041-09-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AVGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129703 | PA      | $126849.74    | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E0SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        782 | PA      | $777.03       | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E4YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        529 | PA      | $549.73       | 0.00%             | 2042-02-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E9N55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550806 | PA      | $534722.13    | 0.07%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59088 | PA      | $60763.52     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EGKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1380 | PA      | $1376.61      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EHS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3934 | PA      | $4083.93      | 0.00%             | 2042-01-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EJ6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57193 | PA      | $54708.77     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12010 | PA      | $12089.70     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75493 | PA      | $75820.48     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EL6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50493 | PA      | $49381.61     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ELBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61026 | PA      | $62757.00     | 0.01%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79249 | PA      | $79331.25     | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66283 | PA      | $64673.30     | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35284 | PA      | $34312.31     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104234 | PA      | $104299.90    | 0.01%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21181 | PA      | $21498.37     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239120 | PA      | $227698.59    | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178214 | PA      | $178793.37    | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32767 | PA      | $29718.09     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165426 | PA      | $157742.92    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194611 | PA      | $176551.49    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26198 | PA      | $24818.07     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13240 | PA      | $12050.25     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51757 | PA      | $47250.30     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9374 | PA      | $8662.94      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LSZ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6352 | PA      | $6217.74      | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180706 | PA      | $172742.42    | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LVU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26717 | PA      | $26164.71     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LYAC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4800 | PA      | $4723.75      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M5GF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8759 | PA      | $8600.70      | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M7CK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6368 | PA      | $6268.96      | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M8EN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2947 | PA      | $2919.56      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3435 | PA      | $3405.68      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MAJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112277 | PA      | $107399.99    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MBWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24178 | PA      | $23967.73     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8600 | PA      | $7950.22      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MJF20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4003 | PA      | $3961.97      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MJWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5985 | PA      | $5898.95      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MKE85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4786 | PA      | $4735.27      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MLBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5790 | PA      | $5731.76      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MLUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6391 | PA      | $6332.51      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MPGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2108 | PA      | $2087.36      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W1VC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28210 | PA      | $26899.72     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W3F32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32992 | PA      | $29410.14     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W9RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4359 | PA      | $4290.28      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21489 | PA      | $19844.87     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8938 | PA      | $8487.15      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43672 | PA      | $42604.67     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WFHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239282 | PA      | $227148.60    | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14128 | PA      | $13382.12     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7289 | PA      | $7275.63      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24827 | PA      | $23470.95     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26466 | PA      | $26387.80     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150870 | PA      | $145868.31    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53044 | PA      | $51301.62     | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4111 | PA      | $4093.09      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22240 | PA      | $21032.08     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10012 | PA      | $9998.28      | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63294 | PA      | $57212.48     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10705 | PA      | $9813.12      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23306 | PA      | $21276.73     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370397 | PA      | $351279.20    | 0.05%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160828 | PA      | $151688.88    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38942 | PA      | $35551.98     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97919 | PA      | $88482.10     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80505 | PA      | $75991.57     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123219 | PA      | $116837.60    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96232 | PA      | $90804.74     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12308 | PA      | $11899.90     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71086 | PA      | $70691.79     | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7162 | PA      | $6482.99      | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40379 | PA      | $37691.20     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67655 | PA      | $65516.39     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WLBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56814 | PA      | $53859.53     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8022 | PA      | $7415.39      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18790 | PA      | $19523.21     | 0.00%             | 2043-06-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WTWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9398 | PA      | $9686.26      | 0.00%             | 2043-05-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31615 | PA      | $28123.55     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42887 | PA      | $41889.95     | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138Y4PH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187564 | PA      | $182125.52    | 0.03%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YL2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45887 | PA      | $40424.22     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YPAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35586 | PA      | $32234.48     | 0.00%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390CVL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        792 | PA      | $818.41       | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1239 | PA      | $1333.45      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390QJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11821 | PA      | $12063.12     | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390UXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14097 | PA      | $14680.51     | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31391NES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1341 | PA      | $1376.14      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5587 | PA      | $5644.05      | 0.00%             | 2032-10-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31400HVV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2758 | PA      | $2797.77      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31400SHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20316 | PA      | $20842.74     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31401NJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25665 | PA      | $25884.92     | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25799 | PA      | $26191.19     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83408 | PA      | $86756.31     | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20019 | PA      | $20900.11     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5953 | PA      | $6202.57      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96725 | PA      | $97959.48     | 0.01%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25262 | PA      | $26395.08     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1425 | PA      | $1489.87      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403APE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13591 | PA      | $13779.97     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26707 | PA      | $27923.12     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15276 | PA      | $15971.39     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31404QAL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32085 | PA      | $32590.90     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31405RRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        964 | PA      | $989.10       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406BBF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32907 | PA      | $34239.16     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16061 | PA      | $16386.40     | 0.00%             | 2035-04-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406XLV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4512 | PA      | $4757.44      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407CBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19945 | PA      | $20459.48     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407FFW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19398 | PA      | $20280.36     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407FN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28873 | PA      | $29273.69     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407KQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10379 | PA      | $10789.46     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407SPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18550 | PA      | $19395.06     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407X4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32432 | PA      | $33704.86     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38904 | PA      | $40552.97     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16135 | PA      | $16727.60     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YR68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4766 | PA      | $4895.70      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408DQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14356 | PA      | $14714.16     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408GVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16025 | PA      | $16440.88     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408H5Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4577 | PA      | $4791.99      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409CE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4903 | PA      | $5184.97      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409GKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6193 | PA      | $6549.76      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409VDU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10741 | PA      | $11179.14     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140E0E76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6381 | PA      | $6374.76      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140E24G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7635 | PA      | $7392.59      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24113 | PA      | $22825.28     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUKZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1819 | PA      | $1824.48      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15795 | PA      | $14996.00     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EVPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16001 | PA      | $15693.07     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EVS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168501 | PA      | $159296.05    | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EW6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28804 | PA      | $27863.72     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41190 | PA      | $41114.00     | 0.01%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12785 | PA      | $11602.43     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38797 | PA      | $35216.73     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14138 | PA      | $13650.57     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92647 | PA      | $87504.65     | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FRMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110678 | PA      | $99740.69     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FS3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7107 | PA      | $7059.21      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19317 | PA      | $19013.36     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299007 | PA      | $280358.73    | 0.04%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268571 | PA      | $255333.97    | 0.04%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2741762 | PA      | $2529200.62   | 0.35%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47158 | PA      | $42491.17     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352678 | PA      | $341446.63    | 0.05%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7137 | PA      | $7095.56      | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6881 | PA      | $6654.11      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154149 | PA      | $149965.17    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211123 | PA      | $210021.54    | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41581 | PA      | $41298.92     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265541 | PA      | $263985.82    | 0.04%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193540 | PA      | $192406.58    | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45404 | PA      | $45207.80     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HJ2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48822 | PA      | $49285.12     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204776 | PA      | $203386.82    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25369 | PA      | $24007.31     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5MS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     448435 | PA      | $433566.46    | 0.06%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90186 | PA      | $89759.66     | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J6E94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142718 | PA      | $135320.62    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12379 | PA      | $11973.03     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J75S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102031 | PA      | $99468.51     | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J7R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105153 | PA      | $99747.28     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47062 | PA      | $42834.89     | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85246 | PA      | $85825.38     | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177250 | PA      | $173277.22    | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57374 | PA      | $53029.11     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105273 | PA      | $95507.67     | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125970 | PA      | $120093.81    | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     551865 | PA      | $576739.26    | 0.08%             | 2047-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8LM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194761 | PA      | $180031.14    | 0.02%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59005 | PA      | $56152.04     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29563 | PA      | $27314.79     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276355 | PA      | $274450.20    | 0.04%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60623 | PA      | $58637.90     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60451 | PA      | $58610.26     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70290 | PA      | $68055.23     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53491 | PA      | $49428.73     | 0.01%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56075 | PA      | $55659.73     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98730 | PA      | $95885.74     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413424 | PA      | $373165.53    | 0.05%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171294 | PA      | $167207.84    | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146457 | PA      | $141738.48    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JGLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74795 | PA      | $74157.52     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209423 | PA      | $197284.78    | 0.03%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JPN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36477 | PA      | $34569.75     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KQN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1388304 | PA      | $1135391.77   | 0.16%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220586 | PA      | $179697.36    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128119 | PA      | $118915.98    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140M7R60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2838926 | PA      | $2328450.53   | 0.32%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MESL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3952047 | PA      | $4071717.36   | 0.56%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     796140 | PA      | $677375.10    | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85759 | PA      | $80562.13     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7LA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308885 | PA      | $298594.83    | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62498 | PA      | $58779.42     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72614 | PA      | $68254.12     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135925 | PA      | $135187.32    | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33345 | PA      | $32237.65     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7XJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72092 | PA      | $68349.22     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72019 | PA      | $68644.40     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8C52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344542 | PA      | $326583.17    | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148353 | PA      | $147484.03    | 0.02%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66710 | PA      | $63481.50     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25460 | PA      | $24224.57     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80474 | PA      | $79985.26     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6281 | PA      | $6237.96      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104954 | PA      | $106617.01    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62055 | PA      | $61582.81     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40542 | PA      | $39247.66     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4678 | PA      | $4643.52      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379334 | PA      | $385573.78    | 0.05%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24552 | PA      | $23768.18     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56796 | PA      | $57684.21     | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14356 | PA      | $13929.45     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250668 | PA      | $227058.97    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55470 | PA      | $49943.38     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319335 | PA      | $285490.98    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310300 | PA      | $277703.38    | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613781 | PA      | $527842.46    | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     797844 | PA      | $654875.30    | 0.09%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419474 | PA      | $362970.90    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     869512 | PA      | $745397.92    | 0.10%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     659834 | PA      | $565645.80    | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2178240 | PA      | $1776504.58   | 0.25%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166647 | PA      | $154677.53    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     936387 | PA      | $774273.50    | 0.11%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1649741 | PA      | $1358462.84   | 0.19%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301893 | PA      | $280204.56    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303609 | PA      | $259199.78    | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298232 | PA      | $276250.83    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287419 | PA      | $266767.84    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     651777 | PA      | $532217.66    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407484 | PA      | $349289.27    | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172701 | PA      | $160294.36    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113790 | PA      | $105403.29    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76740 | PA      | $73115.96     | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QLPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1485260 | PA      | $1271059.14   | 0.18%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QMCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684659 | PA      | $586986.59    | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     764188 | PA      | $653744.66    | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QREH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1181765 | PA      | $1186142.81   | 0.16%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRKD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446465 | PA      | $459518.84    | 0.06%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237305 | PA      | $237768.61    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413308 | PA      | $420796.89    | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QSL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473312 | PA      | $486456.37    | 0.07%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QTJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     878021 | PA      | $904498.59    | 0.13%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QTQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218060 | PA      | $231213.67    | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QUH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335063 | PA      | $352471.26    | 0.05%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QUHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400052 | PA      | $411628.15    | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140W1BL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168963 | PA      | $176467.17    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151450 | PA      | $135527.97    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15114 | PA      | $15000.66     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523835 | PA      | $478576.68    | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38854 | PA      | $37999.21     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1595 | PA      | $1590.12      | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54796 | PA      | $53985.37     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61213 | PA      | $59336.07     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438309 | PA      | $379035.28    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2450430 | PA      | $2113556.55   | 0.29%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8H26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73920 | PA      | $71676.04     | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     619170 | PA      | $528937.45    | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8RR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565943 | PA      | $468101.67    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1076642 | PA      | $888901.83    | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471057 | PA      | $389743.20    | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161568 | PA      | $153418.56    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64216 | PA      | $59516.38     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120550 | PA      | $111891.90    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1929129 | PA      | $1561367.40   | 0.22%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XBAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1519453 | PA      | $1247162.56   | 0.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321548 | PA      | $309514.83    | 0.04%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     851497 | PA      | $658973.28    | 0.09%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1517188 | PA      | $1249781.20   | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1097615 | PA      | $900897.95    | 0.12%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XGK57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2653400 | PA      | $2260450.16   | 0.31%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665438 | PA      | $616349.64    | 0.09%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XJH48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66212 | PA      | $62788.91     | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XMXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396239 | PA      | $408188.08    | 0.06%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XPSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299859 | PA      | $311708.59    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31866 | PA      | $33703.19     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73001 | PA      | $66285.60     | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31411WXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4400 | PA      | $4453.10      | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412AQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1460 | PA      | $1543.84      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412PKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        431 | PA      | $432.30       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412Q2X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17529 | PA      | $17669.69     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412QSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97517 | PA      | $100281.01    | 0.01%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412RND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36687 | PA      | $35400.19     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412RNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8559 | PA      | $8223.90      | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413HHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2323 | PA      | $2383.18      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413UKP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8443 | PA      | $8929.30      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413YMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4257 | PA      | $4475.90      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31414BWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12244 | PA      | $12772.18     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31415RPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5754 | PA      | $5966.47      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31415VKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        233 | PA      | $243.16       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9435 | PA      | $9978.27      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34901 | PA      | $36474.25     | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17020 | PA      | $17458.52     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416CA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30760 | PA      | $32050.51     | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416CKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48101 | PA      | $49906.24     | 0.01%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416J7C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16235 | PA      | $16309.68     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416VS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16594 | PA      | $17549.80     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416W4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4187 | PA      | $4034.36      | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416W5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13587 | PA      | $13289.89     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416WUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4849 | PA      | $4986.36      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30608 | PA      | $29544.26     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146445 | PA      | $141050.48    | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165484 | PA      | $161912.79    | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416YLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43622 | PA      | $44859.19     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2996 | PA      | $2965.50      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5897 | PA      | $5848.44      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6856 | PA      | $6760.81      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417FBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50777 | PA      | $52276.35     | 0.01%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16656 | PA      | $16208.38     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58838 | PA      | $56105.59     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GNU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45363 | PA      | $44114.40     | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20376 | PA      | $19743.50     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41672 | PA      | $37069.86     | 0.01%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417Y7H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18459 | PA      | $18197.98     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33921 | PA      | $33825.14     | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418AJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53599 | PA      | $52739.94     | 0.01%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132132 | PA      | $127993.79    | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57423 | PA      | $52180.96     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27703 | PA      | $25139.28     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255277 | PA      | $231945.52    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15990 | PA      | $15492.57     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12621 | PA      | $12532.27     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41016 | PA      | $41062.93     | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18030 | PA      | $18049.71     | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10271 | PA      | $10281.59     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25801 | PA      | $24892.39     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436007 | PA      | $371574.72    | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196008 | PA      | $177711.11    | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1534650 | PA      | $1309205.29   | 0.18%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DA85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24046 | PA      | $24504.11     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5715 | PA      | $5661.90      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74746 | PA      | $71219.29     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80656 | PA      | $72132.78     | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16265 | PA      | $14530.92     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2392808 | PA      | $1846249.66   | 0.26%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1363276 | PA      | $1234087.78   | 0.17%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379947 | PA      | $343940.96    | 0.05%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675114 | PA      | $624916.02    | 0.09%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140017 | PA      | $132450.76    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     900921 | PA      | $883095.01    | 0.12%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418MYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28099 | PA      | $29153.87     | 0.00%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418Q4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        954 | PA      | $984.49       | 0.00%             | 2040-04-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101729 | PA      | $104613.01    | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6609 | PA      | $6796.13      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418V5T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3645 | PA      | $3748.68      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1451 | PA      | $1492.36      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5013 | PA      | $5154.93      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419AVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85854 | PA      | $88177.05     | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26126 | PA      | $26315.29     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22013 | PA      | $22637.36     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427MGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86821 | PA      | $89441.54     | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427MTB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     698791 | PA      | $719932.97    | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427NMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     331544 | PA      | $336567.01    | 0.05%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427PJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500797 | PA      | $520952.95    | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427QJ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2962744 | PA      | $3038738.07   | 0.42%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31427QL67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     243835 | PA      | $253275.02    | 0.04%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GQSS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92555 | PA      | $96820.49     | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58944 | PA      | $61578.09     | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRLU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     453944 | PA      | $478007.51    | 0.07%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199593 | PA      | $210596.36    | 0.03%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GSN79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1014127 | PA      | $1048153.53   | 0.15%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GTED4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     928872 | PA      | $977846.31    | 0.14%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GTGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1010816 | PA      | $1035112.03   | 0.14%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GVCX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     697588 | PA      | $717680.01    | 0.10%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142J6BL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     877963 | PA      | $911997.81    | 0.13%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142J6BV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     362599 | PA      | $376655.89    | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EF HOLD/EF KY/ELL KY/TRS                                                         | EF Holdco / EF Cayman Hold / Ellington Fin REIT Cayman/TRS / EF Cayman Non-MTM  | CUSIP: 31574BAA4<br>LEI: N/A                  | Long             | DBT              |  | XX        |      35000 | PA      | $35273.67     | 0.00%             | 2030-09-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                                                          | Fidelity National Financial Inc                                                 | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $954233.01    | 0.13%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                              | Fifth Third Bancorp                                                             | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     140000 | PA      | $147437.02    | 0.02%             | 2029-07-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                                         | First Quantum Minerals Ltd                                                      | CUSIP: 335934AV7<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     140000 | PA      | $147420.00    | 0.02%             | 2029-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                                         | First Quantum Minerals Ltd                                                      | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $213106.00    | 0.03%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| FIRSTENERGY TRANSMISSION                                                         | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25049.58     | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                    | FirstCash Inc                                                                   | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |     229000 | PA      | $238206.19    | 0.03%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FIVE POINT OPERATING CO                                                          | Five Point Operating Co LP                                                      | CUSIP: 33834YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     145000 | PA      | $151493.10    | 0.02%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FLASH COMPUTE LLC                                                                | Flash Compute LLC                                                               | CUSIP: 33853QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      85000 | PA      | $84214.84     | 0.01%             | 2030-12-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081FL6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     300000 | PA      | $249887.85    | 0.03%             | 2044-10-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      40000 | PA      | $27394.08     | 0.00%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      90000 | PA      | $57363.80     | 0.01%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081GQ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      55000 | PA      | $56068.82     | 0.01%             | 2033-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081HB6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      55000 | PA      | $54137.36     | 0.01%             | 2066-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp                                       | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                        | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |     119000 | PA      | $109492.88    | 0.02%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                             | CUSIP: 34531XAB0<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |       5000 | PA      | $2975.32      | 0.00%             | 2050-06-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: —       |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                             | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |      30000 | PA      | $16912.82     | 0.00%             | 2070-06-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS                                                          | FTAI Aviation Investors LLC                                                     | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     176000 | PA      | $185020.53    | 0.03%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FORTREA HOLDINGS INC                                                             | Fortrea Holdings Inc                                                            | CUSIP: 34965KAA5<br>LEI: 5493000FIVFABOVCDU97 | Long             | DBT              | CORP              | US        |     156000 | PA      | $159448.54    | 0.02%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| FOX CORP                                                                         | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     500000 | PA      | $501454.10    | 0.07%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| FRED HUTCH CNCR CTR                                                              | Fred Hutchinson Cancer Center                                                   | CUSIP: 35561RAA5<br>LEI: 549300ESFMVM81MJ8C69 | Long             | DBT              | CORP              | US        |     130000 | PA      | $117414.58    | 0.02%             | 2052-01-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA1                                         | CUSIP: 35564KBD0<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3664385.90   | 0.51%             | 2051-01-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA1                                         | CUSIP: 35564KCN7<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |    3750000 | PA      | $4074313.13   | 0.56%             | 2033-08-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35564KDX4<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3418108.05   | 0.47%             | 2033-08-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA3                                         | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2599987.25   | 0.36%             | 2042-08-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KFG9<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2798071.75   | 0.39%             | 2033-10-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA2                                         | CUSIP: 35564KGR4<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1103385.50   | 0.15%             | 2033-12-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJA8<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3186517.20   | 0.44%             | 2034-01-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1195000.00   | 0.17%             | 2034-01-25      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA7                                         | CUSIP: 35564KL72<br>LEI: 5493000IRUQLXTG4SV18 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1645731.15   | 0.23%             | 2052-03-25      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLU1<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |    3520000 | PA      | $3581912.58   | 0.50%             | 2041-10-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |    2243393 | PA      | $2294400.35   | 0.32%             | 2041-11-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA4                                         | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1008541.40   | 0.14%             | 2041-12-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQY8<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |    3250000 | PA      | $3325231.65   | 0.46%             | 2042-01-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |    1587000 | PA      | $1634237.21   | 0.23%             | 2042-02-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA1                                         | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | USGSE             | US        |    4150000 | PA      | $4353094.78   | 0.60%             | 2042-03-25      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA1                                         | CUSIP: 35564KUE7<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | USGSE             | US        |    1620000 | PA      | $1727244.97   | 0.24%             | 2042-03-25      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2603941.00   | 0.36%             | 2042-04-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3167534.10   | 0.44%             | 2042-05-25      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-HQA5                                         | CUSIP: 35565TBD0<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2197042.00   | 0.30%             | 2050-11-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-DNA6                                         | CUSIP: 35566CBD6<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |     680000 | PA      | $726027.57    | 0.10%             | 2050-12-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                            | Freedom Mortgage Corp                                                           | CUSIP: 35640YAL1<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |      81000 | PA      | $89840.60     | 0.01%             | 2030-10-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                                            | Freedom Mortgage Holdings LLC                                                   | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |      40000 | PA      | $42106.59     | 0.01%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| FRONTIER COMMUNICATIONS                                                          | Frontier Communications Holdings LLC                                            | CUSIP: 35906ABG2<br>LEI: 549300ZCZ76HYCS0H445 | Long             | DBT              | CORP              | US        |     351000 | PA      | $353657.99    | 0.05%             | 2029-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL INTL FUNDING                                                          | GE Capital International Funding Co Unlimited Co                                | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $243959.89    | 0.03%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| GCI LLC                                                                          | GCI LLC                                                                         | CUSIP: 36166TAB6<br>LEI: 549300N3IE9H88Q20221 | Long             | DBT              | CORP              | US        |     116000 | PA      | $113131.15    | 0.02%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36176HTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4287 | PA      | $4003.89      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36177QXM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10561 | PA      | $9855.63      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36177YC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3170 | PA      | $2967.68      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178DSS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42474 | PA      | $38916.79     | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36178DVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9131 | PA      | $8494.40      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77978 | PA      | $71326.00     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36178EDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34508 | PA      | $32203.46     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178WS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19176 | PA      | $17558.21     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178WS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12786 | PA      | $11697.58     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179CJA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217062 | PA      | $198887.54    | 0.03%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DJ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6804 | PA      | $6229.63      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21624 | PA      | $19786.33     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3563 | PA      | $3260.51      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11236 | PA      | $10632.57     | 0.00%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238105 | PA      | $224190.77    | 0.03%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9710 | PA      | $9185.01      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42079 | PA      | $38966.23     | 0.01%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35034 | PA      | $32752.97     | 0.00%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     324405 | PA      | $296071.32    | 0.04%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     424802 | PA      | $395768.64    | 0.05%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72024 | PA      | $69579.20     | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60872 | PA      | $55400.31     | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     444759 | PA      | $414360.58    | 0.06%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173650 | PA      | $162022.47    | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137107 | PA      | $125249.79    | 0.02%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133825 | PA      | $124740.14    | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80389 | PA      | $73405.92     | 0.01%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143598 | PA      | $138748.70    | 0.02%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3843 | PA      | $3729.10      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15461 | PA      | $14115.14     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24619 | PA      | $24523.73     | 0.00%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51273 | PA      | $47707.31     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19387 | PA      | $18721.60     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63405 | PA      | $58939.18     | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13194 | PA      | $13138.96     | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231043 | PA      | $210791.70    | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50335 | PA      | $45810.46     | 0.01%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70628 | PA      | $64352.63     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21617 | PA      | $20859.94     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     246179 | PA      | $224554.55    | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4837 | PA      | $4843.33      | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107631 | PA      | $98174.20     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22244 | PA      | $20700.43     | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     219931 | PA      | $193293.55    | 0.03%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61770 | PA      | $56249.38     | 0.01%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18391 | PA      | $16759.67     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11693 | PA      | $11647.41     | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5124 | PA      | $4666.10      | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111111 | PA      | $110196.51    | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145791 | PA      | $144635.84    | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71988 | PA      | $65561.85     | 0.01%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52347 | PA      | $48807.66     | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     197097 | PA      | $189962.47    | 0.03%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29642 | PA      | $29504.47     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28986 | PA      | $26370.39     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     380697 | PA      | $367572.31    | 0.05%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31421 | PA      | $30331.29     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155274 | PA      | $144752.33    | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17872 | PA      | $16532.62     | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11781 | PA      | $11713.43     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27813 | PA      | $25325.55     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158157 | PA      | $147270.50    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154052 | PA      | $148336.03    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86793 | PA      | $80875.99     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21734 | PA      | $20163.60     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1041932 | PA      | $1001240.39   | 0.14%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50658 | PA      | $46056.42     | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98061 | PA      | $90961.35     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     239522 | PA      | $230503.44    | 0.03%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38312 | PA      | $39258.23     | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149180 | PA      | $143140.03    | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175840 | PA      | $174623.41    | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22118 | PA      | $22504.94     | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7999 | PA      | $8268.11      | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172775 | PA      | $166549.28    | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217609 | PA      | $215762.68    | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45856 | PA      | $42496.12     | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57021 | PA      | $56494.38     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     436109 | PA      | $431992.87    | 0.06%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37607 | PA      | $38266.74     | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36376 | PA      | $36961.82     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63537 | PA      | $62535.16     | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85777 | PA      | $77401.80     | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     503145 | PA      | $453565.45    | 0.06%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     237790 | PA      | $214311.48    | 0.03%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     423811 | PA      | $366615.46    | 0.05%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VZS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     290255 | PA      | $261627.36    | 0.04%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381795 | PA      | $329499.51    | 0.05%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1209795 | PA      | $1088450.84   | 0.15%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     714584 | PA      | $616712.42    | 0.09%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     861953 | PA      | $743896.37    | 0.10%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     699415 | PA      | $603616.54    | 0.08%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5359614 | PA      | $4440130.27   | 0.61%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225812 | PA      | $207210.25    | 0.03%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     215510 | PA      | $194390.97    | 0.03%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     535955 | PA      | $545216.62    | 0.08%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     340732 | PA      | $353184.35    | 0.05%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58245 | PA      | $55300.65     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617HP7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74527 | PA      | $70017.04     | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16992 | PA      | $16427.30     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617NWHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     844617 | PA      | $715874.71    | 0.10%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617NWHS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     883564 | PA      | $748887.39    | 0.10%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     504159 | PA      | $427313.05    | 0.06%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     614332 | PA      | $626472.91    | 0.09%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5092 | PA      | $4752.29      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DLG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55084 | PA      | $50437.74     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53109 | PA      | $48595.89     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18346 | PA      | $16786.89     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14974 | PA      | $13965.08     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DR33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35043 | PA      | $32087.29     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66626 | PA      | $62281.70     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116495 | PA      | $108500.48    | 0.02%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180NAD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27014 | PA      | $25169.78     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180UHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9949 | PA      | $9278.37      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36181FM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9730 | PA      | $9116.58      | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36181FM99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21233 | PA      | $19802.84     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36181GDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107941 | PA      | $98901.94     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18217 | PA      | $16583.18     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              |  | US        |     500000 | PA      | $507274.18    | 0.07%             | 2034-09-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AW9<br>LEI: N/A                  | Long             | DBT              |  | US        |     200000 | PA      | $198922.96    | 0.03%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5PL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34068 | PA      | $35239.36     | 0.00%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5RF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     518525 | PA      | $523914.83    | 0.07%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5TP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1974994 | PA      | $2016403.51   | 0.28%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5VT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     971205 | PA      | $1004596.05   | 0.14%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134045 | PA      | $123222.86    | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25743 | PA      | $26077.51     | 0.00%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202D2W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9337 | PA      | $9750.08      | 0.00%             | 2033-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202DJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        990 | PA      | $1030.30      | 0.00%             | 2030-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26304 | PA      | $27114.74     | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EQN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24438 | PA      | $26187.63     | 0.00%             | 2037-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11403 | PA      | $12002.97     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58449 | PA      | $62432.18     | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29384 | PA      | $30341.96     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121023 | PA      | $125387.36    | 0.02%             | 2039-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40624 | PA      | $41898.37     | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59693 | PA      | $61419.74     | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144667 | PA      | $140746.39    | 0.02%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51759 | PA      | $52130.41     | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26801 | PA      | $26988.71     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113091 | PA      | $116223.83    | 0.02%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6266 | PA      | $6307.11      | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A5J75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3035 | PA      | $2924.42      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A82U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22917 | PA      | $22984.05     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A9TL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31770 | PA      | $32391.06     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620ALVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15471 | PA      | $14985.15     | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3620ARSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179040 | PA      | $173097.54    | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3620ARST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54360 | PA      | $52203.65     | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59112 | PA      | $56965.49     | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620AWS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23141 | PA      | $22428.87     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620AWSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19472 | PA      | $18873.41     | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620C0XW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91204 | PA      | $93394.51     | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620C0Y44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84648 | PA      | $86637.89     | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36210BBZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3308 | PA      | $3371.49      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36213ESA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1534 | PA      | $1567.05      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36225A3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1749 | PA      | $1786.99      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127265 | PA      | $117201.74    | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     212546 | PA      | $197824.84    | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38654 | PA      | $35105.54     | 0.00%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165367 | PA      | $152888.09    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225288 | PA      | $207986.49    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     248798 | PA      | $228993.07    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36117 | PA      | $32744.49     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178098 | PA      | $165476.47    | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86005 | PA      | $79030.51     | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157103 | PA      | $143381.41    | 0.02%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2RT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     301648 | PA      | $275325.68    | 0.04%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2SC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13670 | PA      | $12476.74     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77826 | PA      | $71034.89     | 0.01%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42940 | PA      | $40813.76     | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622AABZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68332 | PA      | $66129.68     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112228 | PA      | $101761.28    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59497 | PA      | $54672.05     | 0.01%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13898 | PA      | $13337.94     | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AAEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43692 | PA      | $41807.26     | 0.01%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99404 | PA      | $95152.61     | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622ACNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148893 | PA      | $151678.97    | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230NHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13648 | PA      | $13219.77     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7698 | PA      | $7207.31      | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26754 | PA      | $25960.73     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28004 | PA      | $27173.88     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230SMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9279 | PA      | $9003.82      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230SME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3209 | PA      | $3119.44      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230UCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22422 | PA      | $21732.55     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230UGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49573 | PA      | $48048.27     | 0.01%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36241KWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16862 | PA      | $17675.13     | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36241KZC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34468 | PA      | $36130.66     | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43466 | PA      | $44901.05     | 0.01%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2015-GC30                                          | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |     198167 | PA      | $189245.80    | 0.03%             | 2050-05-10      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36294UU67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3806 | PA      | $3551.68      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36295NPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31014 | PA      | $28379.22     | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36295QGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        572 | PA      | $604.22       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296GJF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6220 | PA      | $6028.72      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79620 | PA      | $79901.17     | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296QME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34477 | PA      | $34318.02     | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37095 | PA      | $37213.98     | 0.01%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36297GD64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96691 | PA      | $99408.44     | 0.01%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                         | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     440000 | PA      | $306773.46    | 0.04%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GARRETT MOTION HLD/SARL                                                          | Garrett Motion Holdings Inc / Garrett LX I Sarl                                 | CUSIP: 366504AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     259000 | PA      | $275283.01    | 0.04%             | 2032-05-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                            | General Dynamics Corp                                                           | CUSIP: 369550BP2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     550000 | PA      | $500263.53    | 0.07%             | 2031-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                              | General Electric Co                                                             | CUSIP: 369604CA9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |     245000 | PA      | $248741.53    | 0.03%             | 2036-01-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      19000 | PA      | $19994.10     | 0.00%             | 2030-04-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     128000 | PA      | $133616.90    | 0.02%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     134000 | PA      | $139682.94    | 0.02%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $77857.65     | 0.01%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                                                            | GENMAB A/S/GENMAB FINANCE LLC                                                   | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     200000 | PA      | $204969.31    | 0.03%             | 2032-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                                                            | GENMAB A/S/GENMAB FINANCE LLC                                                   | CUSIP: 37230JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     210000 | PA      | $220586.49    | 0.03%             | 2033-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GENTING NY LLC/GENNY CAP                                                         | Genting New York LLC / GENNY Capital Inc                                        | CUSIP: 37255JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     149000 | PA      | $152808.61    | 0.02%             | 2029-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY                                                            | Georgetown University/The                                                       | CUSIP: 37310PAD3<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |      27000 | PA      | $17341.97     | 0.00%             | 2050-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     300000 | PA      | $307798.12    | 0.04%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GETTY IMAGES INC                                                                 | Getty Images Inc                                                                | CUSIP: 374276AM5<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |     102000 | PA      | $95642.83     | 0.01%             | 2030-02-21      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| GETTY IMAGES INC                                                                 | Getty Images Inc                                                                | CUSIP: 374276AR4<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |     215000 | PA      | $216776.55    | 0.03%             | 2030-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: —       |
| GLOBAL PART/GLP FINANCE                                                          | Global Partners LP / GLP Finance Corp                                           | CUSIP: 37954FAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     164000 | PA      | $172737.26    | 0.02%             | 2032-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| GOEASY LTD                                                                       | goeasy Ltd                                                                      | CUSIP: 380355AH0<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     223000 | PA      | $229295.74    | 0.03%             | 2028-12-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                      | CUSIP: 380355AJ6<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     125000 | PA      | $123602.47    | 0.02%             | 2029-07-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                      | CUSIP: 380355AN7<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     105000 | PA      | $101042.47    | 0.01%             | 2030-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1538190.59   | 0.21%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     370000 | PA      | $341835.36    | 0.05%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1073000 | PA      | $953221.27    | 0.13%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     370000 | PA      | $368109.25    | 0.05%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1377000 | PA      | $1255566.46   | 0.17%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1295000 | PA      | $1159816.97   | 0.16%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GRAHAM HOLDINGS CO                                                               | Graham Holdings Co                                                              | CUSIP: 384637AC8<br>LEI: 529900BOSCEEEMAFQJ29 | Long             | DBT              | CORP              | US        |     220000 | PA      | $222115.96    | 0.03%             | 2033-12-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| WW GRAINGER INC                                                                  | WW Grainger Inc                                                                 | CUSIP: 384802AF1<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |     880000 | PA      | $872123.16    | 0.12%             | 2034-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Grand Parkway Transportation Corp                                                | GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE                                | CUSIP: 38611TDL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     100000 | PA      | $69266.09     | 0.01%             | 2052-10-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                                   | Gray Media Inc                                                                  | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20755.37     | 0.00%             | 2032-07-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| GRUBHUB HOLDINGS INC                                                             | GrubHub Holdings Inc                                                            | CUSIP: 40010PAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     178000 | PA      | $144893.13    | 0.02%             | 2030-07-31      | Fixed         | 13.00%                | No            |                  2 | On Loan: —       |
| GULFPORT ENERGY OP CORP                                                          | Gulfport Energy Operating Corp                                                  | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |     211000 | PA      | $217895.70    | 0.03%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| HLF FIN SARL LLC/HERBALI                                                         | HLF Financing Sarl LLC / Herbalife International Inc                            | CUSIP: 40390DAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     163000 | PA      | $175997.78    | 0.02%             | 2029-04-15      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     485000 | PA      | $468369.35    | 0.06%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     175000 | PA      | $118615.60    | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     720000 | PA      | $680061.75    | 0.09%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     745000 | PA      | $608412.36    | 0.08%             | 2052-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     535000 | PA      | $558378.95    | 0.08%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     425000 | PA      | $443240.89    | 0.06%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     180000 | PA      | $178947.09    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     170000 | PA      | $167942.49    | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1740000 | PA      | $1718850.87   | 0.24%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280EL9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     570000 | PA      | $595146.21    | 0.08%             | 2035-11-18      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     735000 | PA      | $758357.99    | 0.10%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280ES4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     570000 | PA      | $588070.96    | 0.08%             | 2036-03-03      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     485000 | PA      | $486326.48    | 0.07%             | 2036-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD                                                                    | HTA Group Ltd/Mauritius                                                         | CUSIP: 40435WAC4<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |     204000 | PA      | $211013.52    | 0.03%             | 2029-06-04      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                                         | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |      58000 | PA      | $37387.36     | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                                                                   | Hertz Corp/The                                                                  | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |      63000 | PA      | $63545.90     | 0.01%             | 2029-07-15      | Fixed         | 12.63%                | No            |                  2 | On Loan: —       |
| HILTON DOMESTIC OPERATIN                                                         | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AQ4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     114000 | PA      | $118047.91    | 0.02%             | 2032-04-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| HOAG MEMORIAL HOSPITAL                                                           | Hoag Memorial Hospital Presbyterian                                             | CUSIP: 43371HAA1<br>LEI: FZFVQHQN7LISVXIZDB30 | Long             | DBT              | CORP              | US        |      73000 | PA      | $55290.98     | 0.01%             | 2052-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076AU6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206593.73    | 0.03%             | 2040-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076BZ4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     110000 | PA      | $74974.60     | 0.01%             | 2049-12-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076DG4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      30000 | PA      | $28670.95     | 0.00%             | 2064-06-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                          | Honeywell International Inc                                                     | CUSIP: 438516CM6<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     750000 | PA      | $743343.06    | 0.10%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                         | Host Hotels & Resorts LP                                                        | CUSIP: 44107TBB1<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |     806000 | PA      | $832686.18    | 0.12%             | 2034-07-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                | Hyatt Hotels Corp                                                               | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    1625000 | PA      | $1673752.67   | 0.23%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| IBM INTERNAT CAPITAL                                                             | IBM International Capital Pte Ltd                                               | CUSIP: 449276AF1<br>LEI: 2549007KTXQQBYZO7485 | Long             | DBT              | CORP              | SG        |     300000 | PA      | $289651.73    | 0.04%             | 2044-02-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IBM INTERNAT CAPITAL                                                             | IBM International Capital Pte Ltd                                               | CUSIP: 449276AG9<br>LEI: 2549007KTXQQBYZO7485 | Long             | DBT              | CORP              | SG        |     200000 | PA      | $186400.36    | 0.03%             | 2054-02-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| IHO VERWALTUNGS GMBH                                                             | IHO Verwaltungs GmbH                                                            | CUSIP: 44963BAG3<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |     110000 | PA      | $115863.11    | 0.02%             | 2032-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     108000 | PA      | $107669.52    | 0.01%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      96000 | PA      | $91764.20     | 0.01%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     106000 | PA      | $105925.24    | 0.01%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| IDAHO POWER CO                                                                   | Idaho Power Co                                                                  | CUSIP: 45138LBJ1<br>LEI: TN0LL73P2C8X3W6KM391 | Long             | DBT              | CORP              | US        |      70000 | PA      | $71029.11     | 0.01%             | 2054-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                                       | CUSIP: 45167RAH7<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |    2189000 | PA      | $1999203.54   | 0.28%             | 2031-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                         | iHeartCommunications Inc                                                        | CUSIP: 45174HBJ5<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |     322000 | PA      | $310121.42    | 0.04%             | 2029-05-01      | Fixed         | 9.13%                 | No            |                  2 | On Loan: —       |
| IHEARTCOMMUNICATIONS INC                                                         | iHeartCommunications Inc                                                        | CUSIP: 45174HBL0<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |     271000 | PA      | $234178.96    | 0.03%             | 2030-05-01      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                     | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     222500 | PA      | $228033.51    | 0.03%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| INDIANA MICHIGAN POWER                                                           | Indiana Michigan Power Co                                                       | CUSIP: 454889AV8<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |      50000 | PA      | $49473.92     | 0.01%             | 2053-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                            | Indonesia Government International Bond                                         | CUSIP: 455780CB0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     300000 | PA      | $280687.50    | 0.04%             | 2047-07-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                            | Indonesia Government International Bond                                         | CUSIP: 455780CX2<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $129500.00    | 0.02%             | 2071-03-12      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                    | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     855000 | PA      | $866386.15    | 0.12%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: —       |
| ING GROEP NV                                                                     | ING Groep NV                                                                    | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     545000 | PA      | $588838.44    | 0.08%             | 2034-09-11      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                                                               | Trane Technologies Financing Ltd                                                | CUSIP: 456873AF5<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |      95000 | PA      | $81696.58     | 0.01%             | 2049-03-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INSULET CORPORATION                                                              | Insulet Corp                                                                    | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |     207000 | PA      | $215774.11    | 0.03%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INOVA HEALTH SYSTEMS FOU                                                         | Inova Health System Foundation                                                  | CUSIP: 45791GAA0<br>LEI: 5493001L7PBVS286Y307 | Long             | DBT              | CORP              | US        |      18000 | PA      | $14258.71     | 0.00%             | 2052-05-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                                                          | Inter-American Development Bank                                                 | CUSIP: 4581X0EK0<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |    1730000 | PA      | $1734399.08   | 0.24%             | 2026-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                         | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAQ7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     180000 | PA      | $107609.58    | 0.01%             | 2060-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                                            | CUSIP: 459200KC4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |     746000 | PA      | $602404.56    | 0.08%             | 2049-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                   | CUSIP: 461070AS3<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18360.39     | 0.00%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                   | CUSIP: 461070AX2<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20814.24     | 0.00%             | 2035-06-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAD8<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |      71000 | PA      | $63777.92     | 0.01%             | 2030-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |     460000 | PA      | $480910.17    | 0.07%             | 2033-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |     150000 | PA      | $147739.29    | 0.02%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                | Iron Mountain Inc                                                               | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |      90000 | PA      | $92448.99     | 0.01%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                | Iron Mountain Inc                                                               | CUSIP: 46284VAQ4<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |      94000 | PA      | $94786.47     | 0.01%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ITHACA ENERGY NORTH                                                              | Ithaca Energy North Sea PLC                                                     | CUSIP: 46567TAC8<br>LEI: 213800BMMUN3AKWBIO91 | Long             | DBT              | CORP              | GB        |     350000 | PA      | $361565.06    | 0.05%             | 2029-10-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| IVANHOE MINES LTD                                                                | Ivanhoe Mines Ltd                                                               | CUSIP: 46579RAE4<br>LEI: 5299006XZISURYIA4G32 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $206000.00    | 0.03%             | 2030-01-23      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16                | CUSIP: 46629GAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $10822.90     | 0.00%             | 2045-05-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | Jabil Inc                                                                       | CUSIP: 466313AL7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    1055000 | PA      | $1047663.15   | 0.14%             | 2026-04-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     580000 | PA      | $515263.27    | 0.07%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1063000 | PA      | $971637.17    | 0.13%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     415000 | PA      | $380837.31    | 0.05%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     665000 | PA      | $673549.56    | 0.09%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     470000 | PA      | $478793.16    | 0.07%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     805000 | PA      | $812935.80    | 0.11%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1720000 | PA      | $1751974.77   | 0.24%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     320000 | PA      | $331023.64    | 0.05%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                          | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      66000 | PA      | $68890.56     | 0.01%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                                          | JetBlue Airways Corp / JetBlue Loyalty LP                                       | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     221000 | PA      | $222648.93    | 0.03%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| JOHNSON & JOHNSON                                                                | Johnson & Johnson                                                               | CUSIP: 478160BV5<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |     279000 | PA      | $226087.45    | 0.03%             | 2046-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                                | Johnson & Johnson                                                               | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |     195000 | PA      | $177207.58    | 0.02%             | 2037-03-03      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                                                             | Kaiser Aluminum Corp                                                            | CUSIP: 483007AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      95000 | PA      | $95298.02     | 0.01%             | 2034-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |      57000 | PA      | $42331.24     | 0.01%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     161000 | PA      | $105300.55    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                                                            | Kentucky Utilities Co                                                           | CUSIP: 491674BM8<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |      60000 | PA      | $41303.93     | 0.01%             | 2050-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                            | Keysight Technologies Inc                                                       | CUSIP: 49338LAG8<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |     325000 | PA      | $327343.36    | 0.05%             | 2034-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                              | Kimberly-Clark Corp                                                             | CUSIP: 494368CA9<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |     160000 | PA      | $105771.00    | 0.01%             | 2050-02-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                          | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550AW6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     300000 | PA      | $336975.69    | 0.05%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                               | CUSIP: 49456BBA8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     470000 | PA      | $466937.00    | 0.06%             | 2054-08-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| KIOXIA HOLDINGS CORP                                                             | Kioxia Holdings Corp                                                            | CUSIP: 49726JAB4<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |     166000 | PA      | $172619.35    | 0.02%             | 2033-07-24      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION                                                               | Kohl's Corp                                                                     | CUSIP: 500255AY0<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |     160000 | PA      | $176201.92    | 0.02%             | 2030-06-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| KROGER CO                                                                        | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     240000 | PA      | $241325.81    | 0.03%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                                             | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAM2<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |      30000 | PA      | $23762.07     | 0.00%             | 2041-10-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                 | LPL Holdings Inc                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     945000 | PA      | $968625.76    | 0.13%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                            | CUSIP: 517834AL1<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      85000 | PA      | $89335.75     | 0.01%             | 2034-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                      | Lennar Corp                                                                     | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      90000 | PA      | $90721.41     | 0.01%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                           | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     156000 | PA      | $148980.00    | 0.02%             | 2028-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                           | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     310000 | PA      | $317216.18    | 0.04%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                           | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     135000 | PA      | $139127.21    | 0.02%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LIFE TIME INC                                                                    | Life Time Inc                                                                   | CUSIP: 53190FAE5<br>LEI: 549300PALKE96VYH4X17 | Long             | DBT              | CORP              | US        |     154000 | PA      | $157774.69    | 0.02%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                                          | Light & Wonder International Inc                                                | CUSIP: 531968AA3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |     198000 | PA      | $206579.34    | 0.03%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                                          | Light & Wonder International Inc                                                | CUSIP: 531968AB1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |      65000 | PA      | $65805.86     | 0.01%             | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CG1<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     115000 | PA      | $105068.18    | 0.01%             | 2053-02-27      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     160000 | PA      | $144280.15    | 0.02%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CW6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     530000 | PA      | $547847.28    | 0.08%             | 2032-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457DF2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      60000 | PA      | $60396.44     | 0.01%             | 2055-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457DG0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     105000 | PA      | $105799.21    | 0.01%             | 2065-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LINDBLAD EXPEDITIONS LLC                                                         | Lindblad Expeditions LLC                                                        | CUSIP: 53523LAB6<br>LEI: 549300MPUWOG67Y2R254 | Long             | DBT              | CORP              | US        |      40000 | PA      | $41727.20     | 0.01%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                         | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |      85000 | PA      | $84321.93     | 0.01%             | 2036-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                         | CUSIP: 54627RAP5<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |      65000 | PA      | $62758.18     | 0.01%             | 2039-08-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     280000 | PA      | $277981.17    | 0.04%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      55000 | PA      | $53730.97     | 0.01%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                           | Lumen Technologies Inc                                                          | CUSIP: 550241AK9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      54000 | PA      | $54270.00     | 0.01%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                             | M&T Bank Corp                                                                   | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1529729.35   | 0.21%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| SEKISUI HOUSE US                                                                 | Sekisui House US Inc                                                            | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |      30000 | PA      | $20150.22     | 0.00%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: —       |
| MGIC INVESTMENT CORP                                                             | MGIC Investment Corp                                                            | CUSIP: 552848AG8<br>LEI: 254900S8483WM4M98R28 | Long             | DBT              | CORP              | US        |      63000 | PA      | $63001.40     | 0.01%             | 2028-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                                                         | MPH Acquisition Holdings LLC                                                    | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |     173000 | PA      | $182947.50    | 0.03%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      47000 | PA      | $41999.47     | 0.01%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     355000 | PA      | $295048.49    | 0.04%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     340000 | PA      | $278308.27    | 0.04%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     535000 | PA      | $491292.37    | 0.07%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     875000 | PA      | $884188.11    | 0.12%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                          | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              |  | US        |     161000 | PA      | $155426.41    | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                         | MSCI Inc                                                                        | CUSIP: 55354GAS9<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     740000 | PA      | $734585.42    | 0.10%             | 2036-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                                          | Macy's Retail Holdings LLC                                                      | CUSIP: 55617LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      85000 | PA      | $90096.35     | 0.01%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      85000 | PA      | $74614.70     | 0.01%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     102000 | PA      | $67202.70     | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     210000 | PA      | $147787.50    | 0.02%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBY8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      75000 | PA      | $72584.99     | 0.01%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| MAGNOLIA OIL GAS/MAG FIN                                                         | Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp              | CUSIP: 559665AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     194000 | PA      | $199387.96    | 0.03%             | 2032-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MANITOWOC COMPANY INC                                                            | Manitowoc Co Inc/The                                                            | CUSIP: 563571AN8<br>LEI: 2RTSLGQ89VMY18RHX631 | Long             | DBT              | CORP              | US        |     117000 | PA      | $125669.70    | 0.02%             | 2031-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| MARKEL GROUP INC                                                                 | Markel Group Inc                                                                | CUSIP: 570535AY0<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |     485000 | PA      | $488058.51    | 0.07%             | 2054-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BD3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     515000 | PA      | $423630.19    | 0.06%             | 2048-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     111000 | PA      | $106861.38    | 0.01%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BB8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      46000 | PA      | $46803.51     | 0.01%             | 2028-12-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      41000 | PA      | $41611.94     | 0.01%             | 2030-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     670000 | PA      | $621146.41    | 0.09%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     170000 | PA      | $172873.99    | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BN2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     310000 | PA      | $321920.01    | 0.04%             | 2028-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BS1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     800000 | PA      | $821899.54    | 0.11%             | 2035-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                                                         | Martin Marietta Materials Inc                                                   | CUSIP: 573284BA3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     620000 | PA      | $632588.93    | 0.09%             | 2034-12-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                           | Marvell Technology Inc                                                          | CUSIP: 573874AQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $96226.26     | 0.01%             | 2033-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                | CUSIP: 57421CAV6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     115000 | PA      | $89961.25     | 0.01%             | 2040-07-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                | CUSIP: 57421CAW4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      80000 | PA      | $54159.47     | 0.01%             | 2050-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| MASCO CORP                                                                       | Masco Corp                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     160000 | PA      | $142761.31    | 0.02%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE OF TECH                                                           | Massachusetts Institute of Technology                                           | CUSIP: 575718AJ0<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |     264000 | PA      | $174265.79    | 0.02%             | 2052-04-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Massachusetts                                                    | MASSACHUSETTS ST                                                                | CUSIP: 57582RYY6<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |     100000 | PA      | $68747.83     | 0.01%             | 2049-09-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                  | CUSIP: 57636QAT1<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1037430.80   | 0.14%             | 2051-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                  | CUSIP: 57636QBC7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     385000 | PA      | $384934.98    | 0.05%             | 2035-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                                           | Match Group Holdings II LLC                                                     | CUSIP: 57665RAJ5<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |      72000 | PA      | $72220.03     | 0.01%             | 2029-02-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                                           | Match Group Holdings II LLC                                                     | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     142000 | PA      | $143700.46    | 0.02%             | 2033-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     180000 | PA      | $132459.74    | 0.02%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                 | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     350000 | PA      | $324877.69    | 0.04%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| MEMORIAL SLOAN-KETTERING                                                         | Memorial Sloan-Kettering Cancer Center                                          | CUSIP: 586054AD0<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |      46000 | PA      | $30184.14     | 0.00%             | 2050-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                  | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     330000 | PA      | $264077.17    | 0.04%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                  | CUSIP: 58933YBM6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     710000 | PA      | $652100.71    | 0.09%             | 2053-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| METHODIST HOSPITAL/THE                                                           | Methodist Hospital/The                                                          | CUSIP: 591539AA9<br>LEI: 549300Y1E42JLBRENF23 | Long             | DBT              | CORP              | US        |      87000 | PA      | $53625.01     | 0.01%             | 2050-12-01      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     325000 | PA      | $198428.47    | 0.03%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                  | CUSIP: 594918CW2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     125000 | PA      | $75714.61     | 0.01%             | 2050-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AQ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99032.01     | 0.01%             | 2027-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      60000 | PA      | $40621.05     | 0.01%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AW5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     105000 | PA      | $64165.98     | 0.01%             | 2052-08-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                                                           | Millicom International Cellular SA                                              | CUSIP: 600814AQ0<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |      67500 | PA      | $67736.25     | 0.01%             | 2029-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                                                           | Millicom International Cellular SA                                              | CUSIP: 600814AS6<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     253000 | PA      | $263041.57    | 0.04%             | 2032-04-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                          | Millrose Properties Inc                                                         | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              |  | US        |      55000 | PA      | $56277.32     | 0.01%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                          | Millrose Properties Inc                                                         | CUSIP: 601137AB8<br>LEI: N/A                  | Long             | DBT              |  | US        |     221000 | PA      | $222985.33    | 0.03%             | 2032-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                            | Mineral Resources Ltd                                                           | CUSIP: 603051AF0<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     218000 | PA      | $227331.31    | 0.03%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BX1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     425000 | PA      | $379013.21    | 0.05%             | 2032-07-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CB8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     315000 | PA      | $282152.89    | 0.04%             | 2032-10-13      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     590000 | PA      | $624930.88    | 0.09%             | 2034-07-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      65000 | PA      | $60969.78     | 0.01%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     415000 | PA      | $364474.04    | 0.05%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199972.69    | 0.03%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     233000 | PA      | $201647.46    | 0.03%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     210000 | PA      | $188340.38    | 0.03%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     265000 | PA      | $278864.37    | 0.04%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     140000 | PA      | $143719.31    | 0.02%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      55000 | PA      | $57171.14     | 0.01%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     205000 | PA      | $217844.61    | 0.03%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     525000 | PA      | $548617.26    | 0.08%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                          | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    1825000 | PA      | $1849998.03   | 0.26%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     927000 | PA      | $903104.25    | 0.12%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     260000 | PA      | $263120.81    | 0.04%             | 2029-05-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     625000 | PA      | $645399.99    | 0.09%             | 2034-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     230000 | PA      | $239016.22    | 0.03%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                                            | NGL Energy Operating LLC / NGL Energy Finance Corp                              | CUSIP: 62922LAC2<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |     142000 | PA      | $147390.92    | 0.02%             | 2029-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                                            | NGL Energy Operating LLC / NGL Energy Finance Corp                              | CUSIP: 62922LAD0<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |     158000 | PA      | $163619.27    | 0.02%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                  | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      36000 | PA      | $36972.54     | 0.01%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      58000 | PA      | $58768.11     | 0.01%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| NVR INC                                                                          | NVR Inc                                                                         | CUSIP: 62944TAF2<br>LEI: 529900RWXR4JI3JYTV70 | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1301424.40   | 0.18%             | 2030-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                            | Nabors Industries Inc                                                           | CUSIP: 62957HAP0<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     209000 | PA      | $218522.04    | 0.03%             | 2030-01-31      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                            | Nabors Industries Inc                                                           | CUSIP: 62957HAQ8<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     153000 | PA      | $148424.09    | 0.02%             | 2031-08-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                            | Nabors Industries Inc                                                           | CUSIP: 62957HAR6<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |      78000 | PA      | $76664.37     | 0.01%             | 2032-11-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                       | Nasdaq Inc                                                                      | CUSIP: 631103AG3<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |      32000 | PA      | $31984.24     | 0.00%             | 2026-06-30      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                                                             | National Fuel Gas Co                                                            | CUSIP: 636180BU4<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |     450000 | PA      | $470369.40    | 0.07%             | 2035-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                | National Grid PLC                                                               | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |      90000 | PA      | $93090.78     | 0.01%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NS0<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     330000 | PA      | $325886.72    | 0.05%             | 2029-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743HFS6<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |      80000 | PA      | $82736.07     | 0.01%             | 2029-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NCR ATLEOS LLC                                                                   | NCR Atleos Corp                                                                 | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |     178000 | PA      | $193196.93    | 0.03%             | 2029-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                       | NetApp Inc                                                                      | CUSIP: 64110DAN4<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |     713000 | PA      | $746186.52    | 0.10%             | 2035-03-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| NETFLIX INC                                                                      | Netflix Inc                                                                     | CUSIP: 64110LBA3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96905.84     | 0.01%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables A LLC                                            | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     669228 | PA      | $683070.32    | 0.09%             | 2031-10-20      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables 2024 LLC                                         | CUSIP: 64113EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      13823 | PA      | $13835.78     | 0.00%             | 2030-10-21      | Fixed         | 7.43%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables 2024 LLC                                         | CUSIP: 64113EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1011290.14   | 0.14%             | 2030-10-21      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                                                  | Nevada Power Co                                                                 | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |      90000 | PA      | $92212.71     | 0.01%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW FLYER HOLDINGS                                                               | New Flyer Holdings Inc                                                          | CUSIP: 64438WAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     196000 | PA      | $210665.11    | 0.03%             | 2030-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| NEW GOLD INC                                                                     | New Gold Inc                                                                    | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |     129000 | PA      | $136900.22    | 0.02%             | 2032-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                                    | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                    | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     150000 | PA      | $175259.93    | 0.02%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                               | Rithm Capital Corp                                                              | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              |  | US        |     273000 | PA      | $280289.35    | 0.04%             | 2029-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                               | Rithm Capital Corp                                                              | CUSIP: 64828TAC6<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              |  | US        |      90000 | PA      | $92039.68     | 0.01%             | 2030-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                              | NEW YORK NY                                                                     | CUSIP: 64966Q7G9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |     130000 | PA      | $133787.65    | 0.02%             | 2053-10-01      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                        | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |     250000 | PA      | $254090.23    | 0.04%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                | Nexstar Media Inc                                                               | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |     146000 | PA      | $144940.74    | 0.02%             | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     245000 | PA      | $243539.54    | 0.03%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     200000 | PA      | $183928.58    | 0.03%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      50000 | PA      | $51213.46     | 0.01%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      80000 | PA      | $77271.71     | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      60000 | PA      | $58292.90     | 0.01%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      20000 | PA      | $17692.59     | 0.00%             | 2052-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      80000 | PA      | $82470.41     | 0.01%             | 2034-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473QBG7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     130000 | PA      | $101389.20    | 0.01%             | 2048-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAE5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      61000 | PA      | $61671.34     | 0.01%             | 2026-09-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      55000 | PA      | $55154.99     | 0.01%             | 2028-09-29      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     170000 | PA      | $170023.73    | 0.02%             | 2030-09-30      | Fixed         | 6.13%                 | No            |                  2 | On Loan: —       |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     106000 | PA      | $111229.57    | 0.02%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654922AC7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     215000 | PA      | $228375.23    | 0.03%             | 2032-07-17      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654922AD5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     100000 | PA      | $106262.24    | 0.01%             | 2035-07-17      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                                             | Noble Finance II LLC                                                            | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     261000 | PA      | $271156.47    | 0.04%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                    | Nordstrom Inc                                                                   | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |      85000 | PA      | $81250.72     | 0.01%             | 2030-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| NORTHERN STATES PWR-MINN                                                         | Northern States Power Co/MN                                                     | CUSIP: 665772CY3<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |      85000 | PA      | $82400.17     | 0.01%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-WISC                                                         | Northern States Power Co/WI                                                     | CUSIP: 665789BC6<br>LEI: OOVRSRHKQSBLKRB7QM17 | Long             | DBT              | CORP              | US        |      70000 | PA      | $70467.60     | 0.01%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN UNIVERSITY                                                          | Northwestern University                                                         | CUSIP: 668444AS1<br>LEI: OBWWNZE695DUK77DTI34 | Long             | DBT              | CORP              | US        |     266000 | PA      | $166669.06    | 0.02%             | 2050-12-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                            | Novartis Capital Corp                                                           | CUSIP: 66989HAS7<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |     271000 | PA      | $173420.89    | 0.02%             | 2050-08-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                     | Novelis Corp                                                                    | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      95000 | PA      | $98643.35     | 0.01%             | 2030-01-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                               | CUSIP: 67021CAQ0<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     110000 | PA      | $73520.53     | 0.01%             | 2051-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                               | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |      90000 | PA      | $81151.35     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ondeck Asset Securitization Trust LLC                                            | OnDeck Asset Securitization Trust IV LLC                                        | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1460000 | PA      | $1474880.90   | 0.20%             | 2030-08-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                                | Chord Energy Corp                                                               | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |     125000 | PA      | $129264.63    | 0.02%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| CHORD ENERGY CORP                                                                | Chord Energy Corp                                                               | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |      80000 | PA      | $80981.04     | 0.01%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                                            | Oglethorpe Power Corp                                                           | CUSIP: 677050AU0<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |      65000 | PA      | $66653.90     | 0.01%             | 2053-12-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                   | CUSIP: 677415CW9<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     150000 | PA      | $156412.76    | 0.02%             | 2034-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA G&E CO                                                                  | Oklahoma Gas and Electric Co                                                    | CUSIP: 678858BY6<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |      65000 | PA      | $63664.28     | 0.01%             | 2053-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                           | OKLAHOMA ST DEV FIN AUTH                                                        | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |     110000 | PA      | $106059.76    | 0.01%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| OMNICOM GROUP INC                                                                | Omnicom Group Inc                                                               | CUSIP: 681919BM7<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | DBT              | CORP              | US        |      78000 | PA      | $59052.28     | 0.01%             | 2041-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                                                         | Omega Healthcare Investors Inc                                                  | CUSIP: 681936BP4<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |    1000000 | PA      | $1017683.02   | 0.14%             | 2030-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBP8<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     120000 | PA      | $90498.51     | 0.01%             | 2049-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCH5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      40000 | PA      | $33656.15     | 0.00%             | 2052-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      70000 | PA      | $62341.16     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1223520.66   | 0.17%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      80000 | PA      | $87838.61     | 0.01%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     590000 | PA      | $631351.68    | 0.09%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                                                | ONEOK Partners LP                                                               | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |      75000 | PA      | $76889.96     | 0.01%             | 2041-02-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AE0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     195000 | PA      | $206175.84    | 0.03%             | 2030-03-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     201000 | PA      | $211482.04    | 0.03%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     115000 | PA      | $119110.56    | 0.02%             | 2029-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AN0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      95000 | PA      | $96199.72     | 0.01%             | 2033-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                                 | OneMain Financial Issuance Trust 2019-2                                         | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5690000 | PA      | $5609501.86   | 0.78%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                   | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     450000 | PA      | $468007.60    | 0.06%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XAW5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      90000 | PA      | $68893.26     | 0.01%             | 2044-07-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     385000 | PA      | $355420.00    | 0.05%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      70000 | PA      | $43603.75     | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     683000 | PA      | $417346.04    | 0.06%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     845000 | PA      | $616444.13    | 0.09%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     111000 | PA      | $73033.51     | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     615000 | PA      | $552633.92    | 0.08%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     235000 | PA      | $232941.20    | 0.03%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     427000 | PA      | $354358.56    | 0.05%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     720000 | PA      | $582317.49    | 0.08%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1577610.73   | 0.22%             | 2035-08-03      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     125000 | PA      | $110751.78    | 0.02%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                                                         | Organon & Co / Organon Foreign Debt Co-Issuer BV                                | CUSIP: 68622FAA9<br>LEI: 549300SH15FO4Y2G3V63 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89947.86     | 0.01%             | 2034-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                             | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      70000 | PA      | $54979.51     | 0.01%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                             | CUSIP: 68902VAM9<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      70000 | PA      | $49727.04     | 0.01%             | 2050-02-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                                  | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      70000 | PA      | $45655.71     | 0.01%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     130000 | PA      | $124552.28    | 0.02%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBC6<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     145000 | PA      | $146533.02    | 0.02%             | 2034-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      90000 | PA      | $68125.72     | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     190000 | PA      | $128117.22    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      65000 | PA      | $64720.75     | 0.01%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     270000 | PA      | $228212.68    | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96964.03     | 0.01%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      70000 | PA      | $74446.85     | 0.01%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      10000 | PA      | $11121.16     | 0.00%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      95000 | PA      | $91048.51     | 0.01%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PacifiCorp                                                                      | CUSIP: 695114CT3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     280000 | PA      | $208697.80    | 0.03%             | 2049-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                       | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |     900000 | PA      | $713441.01    | 0.10%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                       | CUSIP: 695156AX7<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |     420000 | PA      | $443062.33    | 0.06%             | 2033-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PAGAYA US HOLDINGS CO                                                            | Pagaya US Holdings Co LLC                                                       | CUSIP: 69549FAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     287000 | PA      | $249871.51    | 0.03%             | 2030-08-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| Panama Government International Bonds                                            | Panama Government International Bonds                                           | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     220000 | PA      | $145310.00    | 0.02%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                           | Patrick Industries Inc                                                          | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |     200000 | PA      | $205189.80    | 0.03%             | 2032-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Pennsylvania State University/The                                                | PENNSYLVANIA ST UNIV                                                            | CUSIP: 709235T88<br>LEI: 549300QDK4O4XCJ47X56 | Long             | DBT              | MUN               | US        |      80000 | PA      | $54014.78     | 0.01%             | 2050-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAE7<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     120000 | PA      | $126147.48    | 0.02%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     140000 | PA      | $146153.37    | 0.02%             | 2033-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     207000 | PA      | $216707.24    | 0.03%             | 2032-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAH0<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      35000 | PA      | $36180.45     | 0.01%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                                     | CUSIP: 713448FT0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     365000 | PA      | $321476.78    | 0.04%             | 2053-02-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PERENTI FINANCE PTY LTD                                                          | Perenti Finance Pty Ltd                                                         | CUSIP: 71367VAB5<br>LEI: 894500ZDIIAOXSQHE612 | Long             | DBT              | CORP              | AU        |     130000 | PA      | $135199.77    | 0.02%             | 2029-04-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PERIMETER HOL                                                                    | Perimeter Holdings LLC                                                          | CUSIP: 71384AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $69540.02     | 0.01%             | 2034-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                                              | Peru Government International Bonds                                             | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     455000 | PA      | $319637.50    | 0.04%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                          | CUSIP: 715638FD9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      60000 | PA      | $61770.00     | 0.01%             | 2055-06-30      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                                          | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      80000 | PA      | $74224.09     | 0.01%             | 2063-05-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                       | Pfizer Inc                                                                      | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      80000 | PA      | $95369.44     | 0.01%             | 2039-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172BL2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     510000 | PA      | $433784.22    | 0.06%             | 2044-11-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     710000 | PA      | $758800.90    | 0.11%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     290000 | PA      | $303249.52    | 0.04%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     650000 | PA      | $689448.21    | 0.10%             | 2033-09-07      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286CL9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     200000 | PA      | $132575.00    | 0.02%             | 2045-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     200000 | PA      | $143500.00    | 0.02%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286DH7<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     240000 | PA      | $253080.00    | 0.04%             | 2050-02-04      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                   | Phillips 66 Co                                                                  | CUSIP: 718547AW2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |     120000 | PA      | $112639.10    | 0.02%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                                                       | Phinia Inc                                                                      | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |      69000 | PA      | $71445.70     | 0.01%             | 2032-10-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                          | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |      80000 | PA      | $78199.50     | 0.01%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                             | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1016174.78   | 0.14%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBH4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |     170000 | PA      | $148690.08    | 0.02%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $145722.33    | 0.02%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $72185.87     | 0.01%             | 2034-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                                                         | Plains All American Pipeline LP                                                 | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |     775000 | PA      | $807110.52    | 0.11%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds                                | Republic of Poland Government International Bonds                               | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     250000 | PA      | $238478.75    | 0.03%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WX90<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     200000 | PA      | $166595.96    | 0.02%             | 2048-09-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WXP4<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     200000 | PA      | $183739.62    | 0.03%             | 2045-06-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WXQ2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      50000 | PA      | $44771.14     | 0.01%             | 2065-10-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                               | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     264000 | PA      | $266639.98    | 0.04%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                               | CUSIP: 737446AX2<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     105000 | PA      | $105582.82    | 0.01%             | 2034-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| PRES & FELLOWS OF HARVAR                                                         | President and Fellows of Harvard College                                        | CUSIP: 740816AP8<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |      54000 | PA      | $32885.13     | 0.00%             | 2050-10-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: —       |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                   | CUSIP: 74251VAT9<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     233000 | PA      | $243351.48    | 0.03%             | 2033-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                   | CUSIP: 74251VAU6<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |      90000 | PA      | $87619.37     | 0.01%             | 2053-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                            | CUSIP: 743315AS2<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |     135000 | PA      | $111568.55    | 0.02%             | 2047-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                            | CUSIP: 743315BA0<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |      35000 | PA      | $26223.75     | 0.00%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | Prologis LP                                                                     | CUSIP: 74340XCF6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |     145000 | PA      | $137782.71    | 0.02%             | 2053-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PROV ST JOSEPH HLTH OBL                                                          | Providence St Joseph Health Obligated Group                                     | CUSIP: 743820AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     136000 | PA      | $80358.72     | 0.01%             | 2051-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                   | CUSIP: 744448CR0<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |      20000 | PA      | $15615.31     | 0.00%             | 2049-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                   | CUSIP: 744448DA6<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |     130000 | PA      | $130104.78    | 0.02%             | 2054-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                                          | Public Service Co of Oklahoma                                                   | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     150000 | PA      | $151621.90    | 0.02%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCE4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     105000 | PA      | $56691.61     | 0.01%             | 2050-08-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      85000 | PA      | $78752.37     | 0.01%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCQ7<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     295000 | PA      | $303869.26    | 0.04%             | 2034-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                           | Puget Sound Energy Inc                                                          | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96103.16     | 0.01%             | 2053-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| QVC INC                                                                          | QVC Inc                                                                         | CUSIP: 747262BA0<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |     252000 | PA      | $108990.00    | 0.02%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     890000 | PA      | $833008.03    | 0.12%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     605000 | PA      | $448039.82    | 0.06%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     360000 | PA      | $360770.59    | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | Province of Quebec Canada                                                       | CUSIP: 748148SE4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     600000 | PA      | $607373.75    | 0.08%             | 2033-09-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                                                            | QXO Building Products Inc                                                       | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     280000 | PA      | $292437.23    | 0.04%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                           | CUSIP: 74834LBE9<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    1125000 | PA      | $1138434.82   | 0.16%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                           | CUSIP: 74834LBF6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    1380000 | PA      | $1403397.32   | 0.19%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                                 | RELX Capital Inc                                                                | CUSIP: 74949LAG7<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |     120000 | PA      | $123851.87    | 0.02%             | 2035-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                                                            | RPM International Inc                                                           | CUSIP: 749685AV5<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |     105000 | PA      | $104514.72    | 0.01%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                                                            | RPM International Inc                                                           | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |     227000 | PA      | $205750.29    | 0.03%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| RAIN CARBON INC                                                                  | Rain Carbon Inc                                                                 | CUSIP: 75079LAB7<br>LEI: 25490038N6JQH7QXUK52 | Long             | DBT              | CORP              | US        |     154000 | PA      | $160365.67    | 0.02%             | 2029-09-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: —       |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                               | CUSIP: 75102WAG3<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |     225000 | PA      | $240570.10    | 0.03%             | 2027-02-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                               | CUSIP: 75102WAK4<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $223692.08    | 0.03%             | 2029-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| RALPH LAUREN CORP                                                                | Ralph Lauren Corp                                                               | CUSIP: 751212AD3<br>LEI: HO1QNWM0IXBZ0QSMMO20 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1233038.65   | 0.17%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| ANYWHERE RE GRP/REALOGY                                                          | Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp                         | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     108000 | PA      | $104889.04    | 0.01%             | 2029-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANYWHERE RE GRP/REALOGY                                                          | Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp                         | CUSIP: 75606DAQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      92000 | PA      | $85702.14     | 0.01%             | 2030-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | Realty Income Corp                                                              | CUSIP: 756109CF9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |     630000 | PA      | $641382.61    | 0.09%             | 2029-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                         | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2176765.94   | 0.30%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| RELIANCE INC                                                                     | Reliance Inc                                                                    | CUSIP: 759509AG7<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1425530.72   | 0.20%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| RENAISSANCERE HOLDINGS L                                                         | RenaissanceRe Holdings Ltd                                                      | CUSIP: 75968NAE1<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |    1000000 | PA      | $1045596.25   | 0.14%             | 2033-06-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                           | CUSIP: 760759BK5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     570000 | PA      | $590172.45    | 0.08%             | 2034-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                           | CUSIP: 760759BL3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     115000 | PA      | $117635.73    | 0.02%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                                                           | Resorts World Las Vegas LLC / RWLV Capital Inc                                  | CUSIP: 76120HAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      72000 | PA      | $71138.16     | 0.01%             | 2030-07-27      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA LTD                                                            | Rio Tinto Finance USA Ltd                                                       | CUSIP: 767201AT3<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |      10000 | PA      | $6198.62      | 0.00%             | 2051-11-02      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                            | RIO TINTO FIN USA PLC                                                           | CUSIP: 76720AAU0<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |     785000 | PA      | $808891.02    | 0.11%             | 2035-03-14      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROCKEFELLER FOUNDATION                                                           | Rockefeller Foundation/The                                                      | CUSIP: 77310VAA2<br>LEI: 549300JU3NX0IK5I9038 | Long             | DBT              | CORP              | US        |      72000 | PA      | $43523.14     | 0.01%             | 2050-10-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     105000 | PA      | $108536.31    | 0.02%             | 2030-08-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      42000 | PA      | $43790.00     | 0.01%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $134080.41    | 0.02%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                           | Roper Technologies Inc                                                          | CUSIP: 776696AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     665000 | PA      | $671276.60    | 0.09%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016EZD2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     630000 | PA      | $629272.69    | 0.09%             | 2027-05-04      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016FZX5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      10000 | PA      | $10294.40     | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016HZS2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      40000 | PA      | $41237.38     | 0.01%             | 2028-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                                          | Royal Caribbean Cruises Ltd                                                     | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     250000 | PA      | $251046.94    | 0.03%             | 2036-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                               | Royalty Pharma PLC                                                              | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $512163.05    | 0.07%             | 2034-09-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                               | Royalty Pharma PLC                                                              | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     190000 | PA      | $190960.91    | 0.03%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VAR5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     463000 | PA      | $234136.86    | 0.03%             | 2060-08-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VBQ6<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      95000 | PA      | $99761.03     | 0.01%             | 2033-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VBR4<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     285000 | PA      | $284121.40    | 0.04%             | 2035-12-04      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SLM CORP                                                                         | SLM Corp                                                                        | CUSIP: 78442PGF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      31000 | PA      | $32086.80     | 0.00%             | 2030-01-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                   | Sabre GLBL Inc                                                                  | CUSIP: 78573NAN2<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |       1280 | PA      | $1052.58      | 0.00%             | 2030-03-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                | CUSIP: 79467BDX0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     140000 | PA      | $115111.96    | 0.02%             | 2042-01-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                                     | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |      95000 | PA      | $89740.64     | 0.01%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     240000 | PA      | $238410.87    | 0.03%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2024-1                                   | CUSIP: 80288AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     510000 | PA      | $516090.37    | 0.07%             | 2030-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513AU9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3945.17      | 0.00%             | 2028-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BG9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       3000 | PA      | $2631.21      | 0.00%             | 2031-03-11      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BS3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      13000 | PA      | $11768.61     | 0.00%             | 2031-05-13      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BT1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     105000 | PA      | $91946.77     | 0.01%             | 2031-12-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      45000 | PA      | $44290.03     | 0.01%             | 2027-03-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3663.10      | 0.00%             | 2032-03-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CD5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      92000 | PA      | $95504.71     | 0.01%             | 2029-05-19      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      31000 | PA      | $33207.03     | 0.00%             | 2034-05-19      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     415000 | PA      | $419542.37    | 0.06%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     358000 | PA      | $378636.20    | 0.05%             | 2029-11-17      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CL7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     540000 | PA      | $536373.96    | 0.07%             | 2036-11-14      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                                          | Light & Wonder International Inc                                                | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |      63000 | PA      | $64705.17     | 0.01%             | 2029-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                                                             | Seadrill Finance Ltd                                                            | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |      36000 | PA      | $37438.34     | 0.01%             | 2030-08-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STOR                                                                | Seagate Data Storage Technology Pte Ltd                                         | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      70000 | PA      | $72160.62     | 0.01%             | 2030-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                           | Sempra                                                                          | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     140000 | PA      | $137789.52    | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                           | Sempra                                                                          | CUSIP: 816851BR9<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104427.64    | 0.01%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| DIVERSIFIED HEALTHCARE T                                                         | Diversified Healthcare Trust                                                    | CUSIP: 81721MAM1<br>LEI: N/A                  | Long             | DBT              |  | US        |     150000 | PA      | $144790.43    | 0.02%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| SERVICENOW INC                                                                   | ServiceNow Inc                                                                  | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |      72000 | PA      | $63433.67     | 0.01%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                             | Shell Finance US Inc                                                            | CUSIP: 822905AT2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      67000 | PA      | $74629.43     | 0.01%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                             | Shell Finance US Inc                                                            | CUSIP: 822905BB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     178000 | PA      | $114169.95    | 0.02%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                                              | Sherwin-Williams Co/The                                                         | CUSIP: 824348BW5<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1424648.05   | 0.20%             | 2035-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807CL9<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     700000 | PA      | $645157.86    | 0.09%             | 2042-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807CZ8<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     700000 | PA      | $583859.16    | 0.08%             | 2046-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |     330000 | PA      | $227311.32    | 0.03%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259AY6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |     102000 | PA      | $92420.16     | 0.01%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259BF6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |     140000 | PA      | $110229.00    | 0.02%             | 2032-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      90000 | PA      | $93998.70     | 0.01%             | 2033-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                              | Sirius XM Radio LLC                                                             | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      80000 | PA      | $76085.39     | 0.01%             | 2030-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: —       |
| SNAP INC                                                                         | Snap Inc                                                                        | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     239000 | PA      | $247662.61    | 0.03%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     370000 | PA      | $280824.88    | 0.04%             | 2048-03-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $69923.69     | 0.01%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18750.73     | 0.00%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     240000 | PA      | $248175.83    | 0.03%             | 2031-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                                            | Southern California Gas Co                                                      | CUSIP: 842434CY6<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99353.08     | 0.01%             | 2053-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                 | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     350000 | PA      | $348790.73    | 0.05%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                 | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     185000 | PA      | $194762.29    | 0.03%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                                                             | Southern Copper Corp                                                            | CUSIP: 84265VAA3<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |     900000 | PA      | $1060029.00   | 0.15%             | 2035-07-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     140000 | PA      | $148349.49    | 0.02%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10027.79     | 0.00%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                               | Southwest Gas Corp                                                              | CUSIP: 845011AA3<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |      80000 | PA      | $79274.71     | 0.01%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                               | Southwest Gas Corp                                                              | CUSIP: 845011AC9<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |      85000 | PA      | $77241.15     | 0.01%             | 2030-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                              | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     740000 | PA      | $894923.57    | 0.12%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BAU9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |     152000 | PA      | $151255.50    | 0.02%             | 2026-07-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |      87000 | PA      | $91880.87     | 0.01%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBE4<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |      85000 | PA      | $88620.49     | 0.01%             | 2030-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                                                 | StoneX Group Inc                                                                | CUSIP: 861896AA6<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |     322000 | PA      | $342099.24    | 0.05%             | 2031-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| STONEX ESCROW ISSUER LLC                                                         | Stonex Escrow Issuer LLC                                                        | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $93350.88     | 0.01%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STONEPEAK NILE PARENT                                                            | Stonepeak Nile Parent LLC                                                       | CUSIP: 861932AA9<br>LEI: 254900TJV3VAFZD0GU41 | Long             | DBT              | CORP              | US        |     148000 | PA      | $156627.81    | 0.02%             | 2032-03-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Trust                                                | Sunbit Asset Securitization Trust 2025-1                                        | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1670000 | PA      | $1681045.88   | 0.23%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     610000 | PA      | $548172.18    | 0.08%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | Sutter Health                                                                   | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |      54000 | PA      | $37755.54     | 0.01%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | Synchrony Financial                                                             | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     277000 | PA      | $297556.53    | 0.04%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES                                                          | System Energy Resources Inc                                                     | CUSIP: 871911AV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     820000 | PA      | $828836.15    | 0.11%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     420000 | PA      | $279031.78    | 0.04%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     685000 | PA      | $674220.95    | 0.09%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      75000 | PA      | $76666.88     | 0.01%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     165000 | PA      | $156272.53    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADN2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     550000 | PA      | $501032.30    | 0.07%             | 2055-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADT9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1148352.03   | 0.16%             | 2035-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                                                                   | TR Finance LLC                                                                  | CUSIP: 87268LAA5<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |     800000 | PA      | $796751.07    | 0.11%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                                          | Talen Energy Supply LLC                                                         | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     185000 | PA      | $188684.07    | 0.03%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                                          | Talen Energy Supply LLC                                                         | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     205000 | PA      | $211988.38    | 0.03%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                            | CUSIP: 87485LAD6<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |     202000 | PA      | $209804.67    | 0.03%             | 2029-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                            | CUSIP: 87485LAE4<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |     202000 | PA      | $210687.41    | 0.03%             | 2031-02-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: —       |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                               | CUSIP: 875127BJ0<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |      35000 | PA      | $24762.90     | 0.00%             | 2051-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                               | CUSIP: 875127BN1<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |     755000 | PA      | $765599.47    | 0.11%             | 2035-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                            | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    1345000 | PA      | $1377752.96   | 0.19%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     975000 | PA      | $997922.75    | 0.14%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| TASEKO MINES LTD                                                                 | Taseko Mines Ltd                                                                | CUSIP: 876511AG1<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |     169000 | PA      | $179517.55    | 0.02%             | 2030-05-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAM0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      70000 | PA      | $71849.31     | 0.01%             | 2034-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAR9<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      91000 | PA      | $98685.47     | 0.01%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      92000 | PA      | $101909.94    | 0.01%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTL INC                                                              | Somnigroup International Inc                                                    | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |      98000 | PA      | $95479.81     | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                           | CUSIP: 882508BM5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     570000 | PA      | $348604.83    | 0.05%             | 2051-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| TIDEWATER INC                                                                    | Tidewater Inc                                                                   | CUSIP: 88642RAE9<br>LEI: 2549000JA5GRUPLMUH98 | Long             | DBT              | CORP              | US        |     269000 | PA      | $288620.61    | 0.04%             | 2030-07-15      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     250000 | PA      | $192255.72    | 0.03%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                         | TotalEnergies Capital SA                                                        | CUSIP: 89157XAB7<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |     440000 | PA      | $425444.16    | 0.06%             | 2054-04-05      | Fixed         | 5.49%                 | No            |                  2 | On Loan: —       |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     187000 | PA      | $196531.39    | 0.03%             | 2031-12-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     187000 | PA      | $194558.35    | 0.03%             | 2032-03-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     350000 | PA      | $359144.45    | 0.05%             | 2033-05-31      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      15000 | PA      | $15565.22     | 0.00%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      40000 | PA      | $41667.37     | 0.01%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| TRAVELERS COS INC                                                                | Travelers Cos Inc/The                                                           | CUSIP: 89417EAS8<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |     140000 | PA      | $137958.22    | 0.02%             | 2053-05-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                           | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9500.49      | 0.00%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                        | CUSIP: 898813AS9<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |      90000 | PA      | $80021.31     | 0.01%             | 2030-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                        | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |      30000 | PA      | $28769.27     | 0.00%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TURNING POINT BRANDS INC                                                         | Turning Point Brands Inc                                                        | CUSIP: 90041LAG0<br>LEI: 549300IYG00QF0VVP302 | Long             | DBT              | CORP              | US        |      98000 | PA      | $104302.58    | 0.01%             | 2032-03-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| TUTOR PERINI CORP                                                                | Tutor Perini Corp                                                               | CUSIP: 901109AG3<br>LEI: 549300FHXYVPW8LJ6D98 | Long             | DBT              | CORP              | US        |     108000 | PA      | $119896.70    | 0.02%             | 2029-04-30      | Fixed         | 11.88%                | No            |                  2 | On Loan: —       |
| US FOODS INC                                                                     | US Foods Inc                                                                    | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     125000 | PA      | $131390.53    | 0.02%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US Foods Inc                                                                    | CUSIP: 90290MAJ0<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     152000 | PA      | $154826.29    | 0.02%             | 2033-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                 | UWM Holdings LLC                                                                | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     287000 | PA      | $290610.17    | 0.04%             | 2030-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                 | UWM Holdings LLC                                                                | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $124800.72    | 0.02%             | 2031-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                            | Uber Technologies Inc                                                           | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     115000 | PA      | $109672.44    | 0.02%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UMASS MEM HEALTH CARE                                                            | UMass Memorial Health Care Obligated Group                                      | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      42000 | PA      | $39443.34     | 0.01%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: —       |
| UNION ELECTRIC CO                                                                | Union Electric Co                                                               | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     230000 | PA      | $182493.58    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                | Union Electric Co                                                               | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9638.49      | 0.00%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     100000 | PA      | $99540.00     | 0.01%             | 2040-01-11      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     340000 | PA      | $257210.00    | 0.04%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     535000 | PA      | $329025.00    | 0.05%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     630000 | PA      | $677880.00    | 0.09%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                                         | United Natural Foods Inc                                                        | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Long             | DBT              | CORP              | US        |     218000 | PA      | $218204.92    | 0.03%             | 2028-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| UNITED PARCEL SERVICE                                                            | United Parcel Service Inc                                                       | CUSIP: 911312BW5<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |     280000 | PA      | $267910.84    | 0.04%             | 2050-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| UNITED RENTALS NORTH AM                                                          | United Rentals North America Inc                                                | CUSIP: 911365BS2<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     145000 | PA      | $144897.35    | 0.02%             | 2033-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     155000 | PA      | $163664.99    | 0.02%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                      | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     965000 | PA      | $1002953.58   | 0.14%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4000000 | PA      | $3105156.24   | 0.43%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12200000 | PA      | $9652773.47   | 1.34%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11700000 | PA      | $8165777.37   | 1.13%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2500000 | PA      | $2213085.95   | 0.31%             | 2053-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13200000 | PA      | $12114609.41  | 1.68%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46055000 | PA      | $46535339.37  | 6.44%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2800000 | PA      | $2807328.13   | 0.39%             | 2028-05-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $30863671.80  | 4.27%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7100000 | PA      | $7329363.30   | 1.01%             | 2029-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2470000 | PA      | $2431985.17   | 0.34%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     195000 | PA      | $199162.55    | 0.03%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KB5<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |     120000 | PA      | $80128.16     | 0.01%             | 2050-05-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KD1<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |      85000 | PA      | $53592.58     | 0.01%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                                                            | Universal Health Services Inc                                                   | CUSIP: 913903BC3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     645000 | PA      | $632922.70    | 0.09%             | 2034-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| University of California                                                         | UNIV OF CALIFORNIA REVENUES                                                     | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     115000 | PA      | $95432.51     | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                       | CUSIP: 91412NBD1<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |     148000 | PA      | $116987.02    | 0.02%             | 2045-04-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                       | CUSIP: 91412NBE9<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |     157000 | PA      | $102106.18    | 0.01%             | 2050-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455UH1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      38000 | PA      | $28197.14     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      67000 | PA      | $49716.01     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455VJ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     238000 | PA      | $199393.23    | 0.03%             | 2047-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                                         | University of Southern California                                               | CUSIP: 914886AF3<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |     190000 | PA      | $123380.29    | 0.02%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                                         | University of Southern California                                               | CUSIP: 914886AH9<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9186.17      | 0.00%             | 2053-10-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: —       |
| Board of Regents of the University of Texas System                               | UNIV OF TEXAS TX UNIV REVENUES                                                  | CUSIP: 91514AKD6<br>LEI: TEHUYFNKZR6XVWLGEU86 | Long             | DBT              | MUN               | US        |     105000 | PA      | $65355.23     | 0.01%             | 2049-08-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| University of Virginia                                                           | UNIV OF VIRGINIA VA UNIV REVENUES                                               | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      60000 | PA      | $37055.53     | 0.01%             | 2051-11-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | Unum Group                                                                      | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     410000 | PA      | $311148.98    | 0.04%             | 2051-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2025-3                                             | CUSIP: 91684FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $896645.25    | 0.12%             | 2035-09-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                                         | USA Compression Partners LP / USA Compression Finance Corp                      | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      91000 | PA      | $94195.13     | 0.01%             | 2029-03-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: —       |
| VFH PARENT / VALOR CO                                                            | VFH Parent LLC / Valor Co-Issuer Inc                                            | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $104748.20    | 0.01%             | 2031-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                                      | Valaris Ltd                                                                     | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     262000 | PA      | $272601.57    | 0.04%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| VALLOUREC SACA                                                                   | Vallourec SACA                                                                  | CUSIP: 92023RAA8<br>LEI: 969500P2Q1B47H4MCJ34 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $106178.26    | 0.01%             | 2032-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | Ventas Realty LP                                                                | CUSIP: 92277GBA4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     670000 | PA      | $670821.02    | 0.09%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | Ventas Realty LP                                                                | CUSIP: 92277GBB2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     280000 | PA      | $287812.12    | 0.04%             | 2032-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                            | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      54000 | PA      | $55311.68     | 0.01%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      41000 | PA      | $41529.05     | 0.01%             | 2028-06-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      80000 | PA      | $79554.07     | 0.01%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      83000 | PA      | $85745.01     | 0.01%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| VERISIGN INC                                                                     | VeriSign Inc                                                                    | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |    2332000 | PA      | $2123011.06   | 0.29%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                     | VeriSign Inc                                                                    | CUSIP: 92343EAQ5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     225000 | PA      | $231267.34    | 0.03%             | 2032-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     910000 | PA      | $924913.03    | 0.13%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     812000 | PA      | $820695.80    | 0.11%             | 2037-07-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      55000 | PA      | $54340.07     | 0.01%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                             | Verisk Analytics Inc                                                            | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    1056000 | PA      | $1053908.26   | 0.15%             | 2029-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                             | Verisk Analytics Inc                                                            | CUSIP: 92345YAJ5<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1197912.95   | 0.17%             | 2034-06-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERMILION ENERGY INC                                                             | Vermilion Energy Inc                                                            | CUSIP: 923725AE5<br>LEI: 8945009D1HGCJC8M8A68 | Long             | DBT              | CORP              | CA        |     225000 | PA      | $211995.02    | 0.03%             | 2033-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| VERSANT MEDIA GROUP INC                                                          | Versant Media Group Inc                                                         | CUSIP: 925283AA1<br>LEI: 254900D2Q5F5F229PU30 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25792.23     | 0.00%             | 2031-01-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| VIASAT INC                                                                       | Viasat Inc                                                                      | CUSIP: 92552VAN0<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     216000 | PA      | $210005.27    | 0.03%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                                                       | Viasat Inc                                                                      | CUSIP: 92552VAR1<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     329000 | PA      | $312811.89    | 0.04%             | 2031-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AE3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      77000 | PA      | $71970.63     | 0.01%             | 2052-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     930000 | PA      | $959757.87    | 0.13%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     610000 | PA      | $622925.22    | 0.09%             | 2035-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                               | Viking Cruises Ltd                                                              | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |      81000 | PA      | $82252.50     | 0.01%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804FZ2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     750000 | PA      | $747215.60    | 0.10%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GC2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     190000 | PA      | $130848.39    | 0.02%             | 2049-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GQ1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     195000 | PA      | $182813.52    | 0.03%             | 2054-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39163.71     | 0.01%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GW8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      65000 | PA      | $63130.80     | 0.01%             | 2055-09-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                         | Visa Inc                                                                        | CUSIP: 92826CAJ1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     385000 | PA      | $300312.63    | 0.04%             | 2047-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | Vistra Operations Co LLC                                                        | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     104000 | PA      | $110154.43    | 0.02%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WAKEMED                                                                          | WakeMed                                                                         | CUSIP: 931108AA2<br>LEI: 549300RAN6BZ6UMO7Z44 | Long             | DBT              | CORP              | US        |      81000 | PA      | $55642.68     | 0.01%             | 2052-10-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: —       |
| WALMART INC                                                                      | Walmart Inc                                                                     | CUSIP: 931142EZ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     200000 | PA      | $176148.94    | 0.02%             | 2052-09-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                     | CUSIP: 931142FP3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    1595000 | PA      | $1639688.15   | 0.23%             | 2035-04-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| BLACKROCK CASH FUNDS                                                             | BlackRock Cash Funds: Treasury, SL Agency Shares                                | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    9283232 | NS      | $9287873.25   | 1.29%             |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON GAS LIGHT CO                                                          | Washington Gas Light Co                                                         | CUSIP: 93884PDY3<br>LEI: DL22T1SB4DUBS063O841 | Long             | DBT              | CORP              | US        |      30000 | PA      | $21795.19     | 0.00%             | 2049-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                           | CUSIP: 94106BAA9<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     305000 | PA      | $287622.63    | 0.04%             | 2030-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                           | CUSIP: 94106BAJ0<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    1070000 | PA      | $1107462.16   | 0.15%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| WASTE MANAGEMENT INC                                                             | Waste Management Inc                                                            | CUSIP: 94106LBY4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     915000 | PA      | $947130.17    | 0.13%             | 2031-07-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                     | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |     218000 | PA      | $227520.06    | 0.03%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                     | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |     335000 | PA      | $356929.44    | 0.05%             | 2030-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| WEATHERFORD INTERNATIONA                                                         | Weatherford International Ltd                                                   | CUSIP: 947075AW7<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |     170000 | PA      | $174099.04    | 0.02%             | 2033-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      80000 | PA      | $76103.44     | 0.01%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1374000 | PA      | $1283294.77   | 0.18%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     535000 | PA      | $538535.29    | 0.07%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     360000 | PA      | $328990.04    | 0.05%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      70000 | PA      | $54291.35     | 0.01%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     433000 | PA      | $404134.85    | 0.06%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     840000 | PA      | $849405.69    | 0.12%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     409000 | PA      | $415361.93    | 0.06%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     308000 | PA      | $325430.65    | 0.05%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     180000 | PA      | $199249.92    | 0.03%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     105000 | PA      | $109553.87    | 0.02%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     775000 | PA      | $791686.51    | 0.11%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | Welltower OP LLC                                                                | CUSIP: 95041AAF5<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |    1140000 | PA      | $1152707.01   | 0.16%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                  | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      65000 | PA      | $68402.03     | 0.01%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                  | CUSIP: 958667AJ6<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     485000 | PA      | $482420.87    | 0.07%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                                                           | Westinghouse Air Brake Technologies Corp                                        | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     310000 | PA      | $325521.45    | 0.05%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-4                                    | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1080000 | PA      | $1101580.78   | 0.15%             | 2028-11-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-1                                    | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2880000 | PA      | $2945659.39   | 0.41%             | 2028-11-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-2                                    | CUSIP: 96042YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2030000 | PA      | $2072826.30   | 0.29%             | 2030-04-15      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-1                                    | CUSIP: 96043RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1360000 | PA      | $1394333.88   | 0.19%             | 2029-10-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                             | Westpac Banking Corp                                                            | CUSIP: 961214EQ2<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     120000 | PA      | $91427.62     | 0.01%             | 2040-11-16      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| BlackRock Funds III                                                              | BlackRock Cash Funds: Institutional, SL Agency Shares                           | CUSIP: 066922519<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |   19309490 | NS      | $19319144.57  | 2.67%             |  |  |  | No            |                  1 | On Loan: No      |
| EDCON HOLDCO 1                                                                   | EDCON HOLDCO 1                                                                  | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |    1643590 | NS      | $0.99         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| EDCON HOLDCO 2                                                                   | EDCON HOLDCO 2                                                                  | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |     163560 | NS      | $0.10         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| WHIRLPOOL CORP                                                                   | Whirlpool Corp                                                                  | CUSIP: 963320AV8<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      48000 | PA      | $36041.70     | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| WHIRLPOOL CORP                                                                   | Whirlpool Corp                                                                  | CUSIP: 963320AX4<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      48000 | PA      | $35287.31     | 0.00%             | 2050-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| WHIRLPOOL CORP                                                                   | Whirlpool Corp                                                                  | CUSIP: 963320BD7<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      70000 | PA      | $69914.93     | 0.01%             | 2030-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                         | Willis North America Inc                                                        | CUSIP: 970648AN1<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |     940000 | PA      | $938321.62    | 0.13%             | 2054-03-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                                                         | Wisconsin Electric Power Co                                                     | CUSIP: 976656CN6<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20363.78     | 0.00%             | 2032-09-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| WISCONSIN POWER & LIGHT                                                          | Wisconsin Power and Light Co                                                    | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |      90000 | PA      | $92783.38     | 0.01%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE                                                         | Wisconsin Public Service Corp                                                   | CUSIP: 976843BM3<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |      85000 | PA      | $59033.86     | 0.01%             | 2049-09-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES                                   | BlackRock Cash Funds: Treasury, SL Agency Shares                                | CUSIP: 066922477<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |     100000 | NS      | $100000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WULF COMPUTE LLC                                                                 | WULF Compute LLC                                                                | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     220000 | PA      | $226654.65    | 0.03%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                                   | Wynn Macau Ltd                                                                  | CUSIP: 98313RAL0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $202812.00    | 0.03%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BAV2<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     900000 | PA      | $900037.15    | 0.12%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BAX8<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      50000 | PA      | $35823.10     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BBA7<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103220.78    | 0.01%             | 2033-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| YALE UNIVERSITY                                                                  | Yale University                                                                 | CUSIP: 98459LAC7<br>LEI: 9SFB6DIM0FRWV0EV8S84 | Long             | DBT              | CORP              | US        |     272000 | PA      | $163118.37    | 0.02%             | 2050-04-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ZEGONA FINANCE PLC                                                               | Zegona Finance PLC                                                              | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |     294000 | PA      | $311840.51    | 0.04%             | 2029-07-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: —       |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PAX0<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |     160000 | PA      | $165416.43    | 0.02%             | 2028-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PBA9<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50413.54     | 0.01%             | 2027-02-19      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | Zoetis Inc                                                                      | CUSIP: 98978VAT0<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     100000 | PA      | $66240.12     | 0.01%             | 2050-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND FUTURE MAR26                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -2 | NC      | $-166.46      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US LONG BOND(CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        128 | NC      | $-228000.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         62 | NC      | $-14225.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        121 | NC      | $-356129.14   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        180 | NC      | $-83858.18    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        387 | NC      | $-54367.59    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        189 | NC      | $-169674.77   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | LONG GILT FUTURE MAR26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         26 | NC      | $-5456.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                                              | AUST 10Y BOND FUT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         37 | NC      | $14750.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                       | CAN 10YR BOND FUT MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -16 | NC      | $16423.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.590800 28-AUG-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     660000 | OU      | $-9117.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.593290 03-SEP-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     350000 | OU      | $-4913.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.549200 18-SEP-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     340000 | OU      | $-3476.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.539700 19-SEP-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     690000 | OU      | $-6488.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.561040 22-SEP-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     630000 | OU      | $-7119.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.534610 09-OCT-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     350000 | OU      | $-3237.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.469000 18-NOV-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    1020000 | OU      | $-4917.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.234280 18-MAR-2029 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12760000 | OU      | $32722.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.346780 18-MAR-2031 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   39707204 | OU      | $-223673.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.024340 18-MAR-2056 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7500000 | OU      | $187136.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.494230 18-MAR-2029 CAD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13520000 | OU      | $-46159.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.654910 18-MAR-2031 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8703035 | OU      | $-4665.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.523010 18-MAR-2029 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13610000 | OU      | $-1545.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.018220 18-MAR-2036 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   34730000 | OU      | $10625.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.493100 18-MAR-2056 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14010000 | OU      | $-86840.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.469390 18-MAR-2028 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   49069290 | OU      | $-4083.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.682330 18-MAR-2036 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21847108 | OU      | $-242727.49   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.215690 18-MAR-2028 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  121866000 | OU      | $131504.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.314830 18-MAR-2029 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15120000 | OU      | $53949.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.488950 18-MAR-2031 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6600000 | OU      | $43189.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.831010 18-MAR-2036 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7837500 | OU      | $-104337.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.222850 18-MAR-2028 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15870000 | OU      | $-29238.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 3.134520 18-MAR-2056 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3465000 | OU      | $99866.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 4.078500 18-MAR-2029 AUD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3960000 | OU      | $-4862.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.110000 18-MAR-2028 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1317992000 | OU      | $-21344.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.803000 18-MAR-2036 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  284530000 | OU      | $19666.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 3.129450 18-MAR-2056 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1620000 | OU      | $48569.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.819520 18-MAR-2036 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3480000 | OU      | $-50415.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.724520 18-MAR-2031 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5880000 | OU      | $-21520.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.053460 18-MAR-2036 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3280000 | OU      | $13666.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.792120 18-MAR-2036 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2330000 | OU      | $-4654.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.488870 18-MAR-2031 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3890000 | OU      | $-3253.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.134000 18-MAR-2028 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 5843000000 | OU      | $-76961.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.802500 18-MAR-2036 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1247000000 | OU      | $86552.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.970000 15-DEC-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     410000 | OU      | $-2560.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.968600 15-DEC-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     410000 | OU      | $-2498.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.966250 15-DEC-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     410000 | OU      | $-2395.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.615500 18-MAR-2031 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      30000 | OU      | $11.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.922870 18-MAR-2036 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7050000 | OU      | $27648.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.345520 18-MAR-2028 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   31280000 | OU      | $29745.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.566250 18-MAR-2029 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3600000 | OU      | $5434.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.449330 18-MAR-2029 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6140000 | OU      | $-5926.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.45.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   13186445 | OU      | $1026132.37   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-28

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

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer