# EDGAR Filing Document

**Accession Number:** 0001006415
**File Stem:** 0001410368-25-038397
**Filing Date:** 2025-12
**Character Count:** 768080
**Document Hash:** e4c83128b37fdf7185db9706fd506c02
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-038397.hdr.sgml**: 20251217

**ACCESSION NUMBER**: 0001410368-25-038397

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251217

**DATE AS OF CHANGE**: 20251217

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** HARTFORD MUTUAL FUNDS, INC
- **CENTRAL INDEX KEY:** 0001006415

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07589
- **FILM NUMBER:** 251578847

**BUSINESS ADDRESS:**
- **STREET 1:** 690 LEE ROAD
- **CITY:** WAYNE
- **STATE:** PA
- **ZIP:** 19087
- **BUSINESS PHONE:** 610-386-4068

**MAIL ADDRESS:**
- **STREET 1:** 690 LEE ROAD
- **CITY:** WAYNE
- **STATE:** PA
- **ZIP:** 19087

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HARTFORD MUTUAL FUNDS INC/CT
- **DATE OF NAME CHANGE:** 20190501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Hartford Multi-Asset Income & Growth Fund
- **DATE OF NAME CHANGE:** 20190501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HARTFORD MUTUAL FUNDS INC/CT
- **DATE OF NAME CHANGE:** 19970613

## Series and Classes Contracts Data

### THE HARTFORD TOTAL RETURN BOND FUND (Series ID: S000003605)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000010042 | Class A      | ITBAX           |
| C000010044 | Class C      | HABCX           |
| C000010045 | Class Y      | HABYX           |
| C000035179 | Class I      | ITBIX           |
| C000040987 | Class R3     | ITBRX           |
| C000040988 | Class R4     | ITBUX           |
| C000040989 | Class R5     | ITBTX           |
| C000148296 | Class R6     | ITBVX           |
| C000185727 | Class F      | ITBFX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** HARTFORD MUTUAL FUNDS, INC

- **b. Investment Company Act file number:** 811-07589

- **c. CIK number of Registrant:** 0001006415

- **d. LEI of Registrant:** 549300FJ4Q3QXIS6ZN84

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

  - **Street Address 1:** 690 LEE ROAD

  - **City:** WAYNE

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19087

  - **Telephone number:** 610-386-4068

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

- **a. Name of Series:** THE HARTFORD TOTAL RETURN BOND FUND

- **b. EDGAR series identifier (if any):** S000003605

- **c. LEI of Series:** SIKSVC7SX72QP7S0HI49

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**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:** $6438409639.59

**Total Liabilities:** $1916119243.59

**Net Assets:** $4522290396.00

**Delayed Delivery Securities:** $438675480.58

**Cash Not Reported:** $80100129.73

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2695.73000000 | **1-Year:** -74395.92000000 | **5-Year:** -353231.93000000 | **10-Year:** -389341.35000000 | **30-Year:** -144638.32000000

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

- **3-Month:** -868.04000000 | **1-Year:** -21737.20000000 | **5-Year:** -52686.27000000 | **10-Year:** -29412.04000000 | **30-Year:** -5432.38000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010042 | 1.32%                | 1.30%                | 0.65%                |
| Class ID C000010044 | 1.24%                | 1.22%                | 0.57%                |
| Class ID C000010045 | 1.35%                | 1.22%                | 0.67%                |
| Class ID C000035179 | 1.36%                | 1.34%                | 0.68%                |
| Class ID C000040987 | 1.27%                | 1.25%                | 0.61%                |
| Class ID C000040988 | 1.30%                | 1.28%                | 0.64%                |
| Class ID C000040989 | 1.33%                | 1.31%                | 0.67%                |
| Class ID C000148296 | 1.36%                | 1.22%                | 0.68%                |
| Class ID C000185727 | 1.48%                | 1.24%                | 0.69%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4759723.74              | $37221553.94                               |
| Month 2  | $6345869.65              | $31479049.18                               |
| Month 3  | $3998406.36              | $7075954.34                                |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AES ANDES SA                                      | AES Andes SA                                                                                                  | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |    2000000 | PA      | $2085864.00    | 0.05%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2024-SFR2 Trust                                                                                          | CUSIP: 00179UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2985000 | PA      | $2948527.48    | 0.07%             | 2041-11-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization Equity Trust       | AASET 2020-1 Trust                                                                                            | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     185399 | PA      | $182422.13     | 0.00%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                          | Acadia Healthcare Co Inc                                                                                      | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |     575000 | PA      | $562658.89     | 0.01%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                          | Acadia Healthcare Co Inc                                                                                      | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |    1075000 | PA      | $1111296.30    | 0.02%             | 2033-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2024-X2                                                                     | CUSIP: 00833QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2450000 | PA      | $2454202.73    | 0.05%             | 2029-12-17      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                                                   | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    3573000 | PA      | $3447258.38    | 0.08%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                                                   | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    4250000 | PA      | $3935229.62    | 0.09%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                                                   | CUSIP: 00973RAQ6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     960000 | PA      | $944019.90     | 0.02%             | 2035-10-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                         | ALA Trust 2025-OANA                                                                                           | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2850000 | PA      | $2860687.50    | 0.06%             | 2040-06-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                                              | CUSIP: 010392FL7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     310000 | PA      | $265836.54     | 0.01%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                                              | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $1788889.98    | 0.04%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                                              | CUSIP: 010392GC6<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     465000 | PA      | $475440.92     | 0.01%             | 2035-04-02      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RIO TINTO ALCAN INC                               | Rio Tinto Alcan Inc                                                                                           | CUSIP: 013716AU9<br>LEI: 2138007ZSQ7B17SKOX77 | Long             | DBT              | CORP              | CA        |    1965000 | PA      | $2157863.59    | 0.05%             | 2033-12-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                | Alcon Finance Corp                                                                                            | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     805000 | PA      | $827925.27     | 0.02%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuers LLC                  | Aligned Data Centers Issuer LLC                                                                               | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3675000 | PA      | $3710467.79    | 0.08%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO                           | Allied Universal Holdco LLC                                                                                   | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2238614.03    | 0.05%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0206B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15727000 | PA      | $12750625.46   | 0.28%             | 2055-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19694000 | PA      | $16717576.06   | 0.37%             | 2055-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -15664000 | PA      | $-13297868.06  | -0.29%            | 2055-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18555000 | PA      | $16438570.31   | 0.36%             | 2055-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0326B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25070000 | PA      | $23111058.03   | 0.51%             | 2055-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36170000 | PA      | $34323231.42   | 0.76%             | 2055-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -36170000 | PA      | $-34323231.42  | -0.76%            | 2055-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19960000 | PA      | $18936201.30   | 0.42%             | 2055-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0406B8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -42313000 | PA      | $-40142659.60  | -0.89%            | 2055-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0424B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   37100000 | PA      | $37031835.06   | 0.82%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28257000 | PA      | $27544615.32   | 0.61%             | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -28257000 | PA      | $-27544615.32  | -0.61%            | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   53800000 | PA      | $52434635.09   | 1.16%             | 2055-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0426B4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -76497000 | PA      | $-74555618.59  | -1.65%            | 2055-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -35870000 | PA      | $-34944259.15  | -0.77%            | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0504B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30085000 | PA      | $30377394.61   | 0.67%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43750000 | PA      | $43536169.25   | 0.96%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -43750000 | PA      | $-43536169.25  | -0.96%            | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  104910000 | PA      | $104373593.07  | 2.31%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0506B7<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -112840000 | PA      | $-112263046.82 | -2.48%            | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -37235000 | PA      | $-37019890.43  | -0.82%            | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0524B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41725000 | PA      | $42617495.66   | 0.94%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  149018000 | PA      | $150552387.68  | 3.33%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  149015000 | PA      | $150444579.87  | 3.33%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   70173000 | PA      | $71755890.26   | 1.59%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   63730000 | PA      | $65155108.59   | 1.44%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9320000 | PA      | $9650717.78    | 0.21%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F0626B2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -18645000 | PA      | $-19306612.98  | -0.43%            | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | Alphabet Inc                                                                                                  | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    5468000 | PA      | $5372786.92    | 0.12%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                  | Altice France SA                                                                                              | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    1250000 | PA      | $1196816.18    | 0.03%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                         | Hess Corp                                                                                                     | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    3539000 | PA      | $4117335.88    | 0.09%             | 2033-03-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                                                           | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    3205000 | PA      | $3302690.58    | 0.07%             | 2031-01-30      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                                                           | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4140000 | PA      | $4257780.43    | 0.09%             | 2031-04-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                       | Cencora Inc                                                                                                   | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    5975000 | PA      | $6106346.39    | 0.14%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                          | Ameriprise Financial Inc                                                                                      | CUSIP: 03076CAP1<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2310382.32    | 0.05%             | 2035-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-1                                                                               | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8175632 | PA      | $7696757.92    | 0.17%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-4                                                                               | CUSIP: 03464EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2218216 | PA      | $1876768.47    | 0.04%             | 2065-01-20      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-4                                                                               | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     244946 | PA      | $235504.56     | 0.01%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-3                                                                               | CUSIP: 03464TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10716060 | PA      | $10485362.49   | 0.23%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-2                                                                               | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     792937 | PA      | $754365.81     | 0.02%             | 2065-01-26      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-R1                                                                              | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     659830 | PA      | $627331.28     | 0.01%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-1                                                                               | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1332339 | PA      | $1188891.25    | 0.03%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-2                                                                               | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1222110 | PA      | $1084651.98    | 0.02%             | 2066-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-3                                                                               | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2403114 | PA      | $2096513.59    | 0.05%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-5                                                                               | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2916610 | PA      | $2568507.03    | 0.06%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-6                                                                               | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4905092 | PA      | $4180252.99    | 0.09%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-8                                                                               | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2173802 | PA      | $1950029.48    | 0.04%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-6                                                                               | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8118872 | PA      | $8074897.85    | 0.18%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                            | Anglo American Capital PLC                                                                                    | CUSIP: 034863AU4<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    3710000 | PA      | $3724325.87    | 0.08%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIALS INC                             | Applied Materials Inc                                                                                         | CUSIP: 038222AU9<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3560560.06    | 0.08%             | 2036-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FU                          | Ares Strategic Income Fund                                                                                    | CUSIP: 04020EAK3<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    3115000 | PA      | $3141633.44    | 0.07%             | 2030-09-09      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FU                          | Ares Strategic Income Fund                                                                                    | CUSIP: 04020EAR8<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    3571000 | PA      | $3501882.87    | 0.08%             | 2031-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                            | Arizona Public Service Co                                                                                     | CUSIP: 040555DH4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2376443.29    | 0.05%             | 2034-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                                                                       | CUSIP: 04316JAN9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    7395000 | PA      | $7466683.43    | 0.17%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                               | Ashtead Capital Inc                                                                                           | CUSIP: 045054AP8<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    2880000 | PA      | $2554729.86    | 0.06%             | 2031-08-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                         | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    3495000 | PA      | $3101355.88    | 0.07%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                         | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     380000 | PA      | $359157.14     | 0.01%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                         | CUSIP: 04685A4C2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    4310000 | PA      | $4326628.76    | 0.10%             | 2029-10-08      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                                                  | CUSIP: 053332BD3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     865000 | PA      | $866245.60     | 0.02%             | 2033-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                                                  | CUSIP: 053332BH4<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     860000 | PA      | $959870.64     | 0.02%             | 2033-11-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                                                  | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     610000 | PA      | $630476.95     | 0.01%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                         | Auxilior Term Funding 2024-1 LLC                                                                              | CUSIP: 05335FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2730000 | PA      | $2778160.75    | 0.06%             | 2031-07-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                               | Avantor Funding Inc                                                                                           | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1554613.35    | 0.03%             | 2028-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                               | Avantor Funding Inc                                                                                           | CUSIP: 05352TAB5<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    3095000 | PA      | $2939518.62    | 0.07%             | 2029-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                                                                      | CUSIP: 05377RJL9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    1185000 | PA      | $1219912.11    | 0.03%             | 2030-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                            | Equitable Holdings Inc                                                                                        | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     533000 | PA      | $534523.63     | 0.01%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2019-BPR                                                           | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1590599 | PA      | $1513923.57    | 0.03%             | 2032-11-05      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2020-C7                                                                                  | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6535000 | PA      | $259649.93     | 0.01%             | 2053-04-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| AZULE ENERGY FINANCE PLC                          | Azule Energy Finance Plc                                                                                      | CUSIP: 05501YAA6<br>LEI: 2138006X6O82RJSQDB63 | Long             | DBT              | CORP              | GB        |    2345000 | PA      | $2356739.07    | 0.05%             | 2030-01-23      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                   | BAE Systems PLC                                                                                               | CUSIP: 05523RAJ6<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    2700000 | PA      | $2780722.66    | 0.06%             | 2029-03-26      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                              | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1395000 | PA      | $1475645.42    | 0.03%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                              | CUSIP: 05526DCC7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    2945000 | PA      | $3059301.61    | 0.07%             | 2035-08-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C15                                                                                 | CUSIP: 05552FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1640000 | PA      | $1528805.05    | 0.03%             | 2055-04-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                        | BINOM Securitization Trust 2021-INV1                                                                          | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1353177 | PA      | $1245396.35    | 0.03%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                       | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     745000 | PA      | $790207.70     | 0.02%             | 2029-10-19      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                       | CUSIP: 05571AAU9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2870000 | PA      | $3060312.20    | 0.07%             | 2035-01-18      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                       | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    3015000 | PA      | $3146599.50    | 0.07%             | 2031-01-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                       | CUSIP: 05583JAE2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     390000 | PA      | $392444.76     | 0.01%             | 2028-09-12      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2024-PMDW                                                                                           | CUSIP: 05592VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3270000 | PA      | $3344631.54    | 0.07%             | 2041-11-05      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2024-C9 Mortgage Trust                                                                                    | CUSIP: 05593MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20928402 | PA      | $1317549.63    | 0.03%             | 2057-07-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR 2025-ALDR Mortgage Trust                                                                                  | CUSIP: 05594EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4745000 | PA      | $4887079.06    | 0.11%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                    | BSTN Commercial Mortgage Trust 2025-HUB                                                                       | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2170000 | PA      | $2183460.94    | 0.05%             | 2041-04-13      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2023-BRK2                                                                                           | CUSIP: 05610WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7425000 | PA      | $7706705.24    | 0.17%             | 2038-10-05      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                       | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    5380000 | PA      | $5514117.48    | 0.12%             | 2031-05-28      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2024-PAT                                                                                             | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     601000 | PA      | $600812.19     | 0.01%             | 2041-03-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                | Bacardi-Martini BV                                                                                            | CUSIP: 05634WAB8<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |    2040000 | PA      | $2122696.87    | 0.05%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD / MARTINI BV                          | Bacardi Ltd / Bacardi-Martini BV                                                                              | CUSIP: 05635JAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     250000 | PA      | $255457.29     | 0.01%             | 2029-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD / MARTINI BV                          | Bacardi Ltd / Bacardi-Martini BV                                                                              | CUSIP: 05635JAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1040000 | PA      | $1049089.94    | 0.02%             | 2033-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                          | Baltimore Gas and Electric Co                                                                                 | CUSIP: 059165ET3<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    2315000 | PA      | $2411177.86    | 0.05%             | 2035-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     879000 | PA      | $847754.11     | 0.02%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2045000 | PA      | $1901990.49    | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2210000 | PA      | $1980115.98    | 0.04%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4265000 | PA      | $3795040.84    | 0.08%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2460000 | PA      | $2248072.75    | 0.05%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2365000 | PA      | $2104123.92    | 0.05%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2398000 | PA      | $2089547.54    | 0.05%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     700000 | PA      | $638330.60     | 0.01%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     815000 | PA      | $817556.79     | 0.02%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     370000 | PA      | $386514.96     | 0.01%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2979000 | PA      | $3054128.92    | 0.07%             | 2035-10-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2023-5YR4                                                                                               | CUSIP: 06211FBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5955888 | PA      | $153254.53     | 0.00%             | 2056-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                                              | CUSIP: 06406RBT3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    1605000 | PA      | $1706466.59    | 0.04%             | 2029-10-25      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                                              | CUSIP: 06406RBW6<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     215000 | PA      | $221475.00     | 0.00%             | 2035-03-14      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                                              | CUSIP: 06406RBZ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    2320000 | PA      | $2397202.34    | 0.05%             | 2032-07-22      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK25                                                                                               | CUSIP: 06539WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   35543144 | PA      | $1018335.95    | 0.02%             | 2063-01-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK18                                                                                               | CUSIP: 065402BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20699831 | PA      | $522221.54     | 0.01%             | 2062-05-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK17                                                                                               | CUSIP: 065403BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1732237 | PA      | $49254.94      | 0.00%             | 2052-04-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK20                                                                                               | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18867960 | PA      | $503438.68     | 0.01%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK24                                                                                               | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10298385 | PA      | $237698.04     | 0.01%             | 2062-11-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK22                                                                                               | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20154284 | PA      | $413463.12     | 0.01%             | 2062-11-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK28                                                                                               | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36321520 | PA      | $2475961.74    | 0.05%             | 2063-03-15      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2023-BNK45                                                                                               | CUSIP: 06541BBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8476350 | PA      | $489132.00     | 0.01%             | 2056-02-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2024-BNK48                                                                                               | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26478462 | PA      | $2137079.35    | 0.05%             | 2057-10-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK23                                                                                               | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17796120 | PA      | $413770.48     | 0.01%             | 2052-12-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK8                                                                                                | CUSIP: 06650AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24070646 | PA      | $247386.07     | 0.01%             | 2050-11-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                 | Battalion CLO XXV Ltd                                                                                         | CUSIP: 07134FAC4<br>LEI: 5493006S0D1X0TK7V334 | Long             | ABS-CBDO         | CORP              | KY        |    5800000 | PA      | $5810353.00    | 0.13%             | 2037-03-13      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS MORTGAGE TRUST 2017-C1                                                                                  | CUSIP: 07332VBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3856347 | PA      | $3803974.72    | 0.08%             | 2050-02-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS MORTGAGE TRUST 2017-C1                                                                                  | CUSIP: 07332VBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17578340 | PA      | $201373.95     | 0.00%             | 2050-02-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-C24                                                                                 | CUSIP: 07336VAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14017213 | PA      | $1325370.94    | 0.03%             | 2057-02-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-C28                                                                                 | CUSIP: 07336WBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15920901 | PA      | $1198085.99    | 0.03%             | 2057-09-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2025-C32                                                                                 | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16497363 | PA      | $1376371.70    | 0.03%             | 2062-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B9 Mortgage Trust                                                                              | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2990000 | PA      | $2932230.51    | 0.06%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B15 Mortgage Trust                                                                             | CUSIP: 08160KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4201508.70    | 0.09%             | 2072-12-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B3 Mortgage Trust                                                                              | CUSIP: 08161BBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39776354 | PA      | $434620.31     | 0.01%             | 2051-04-10      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B4 Mortgage Trust                                                                              | CUSIP: 08161HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10003868 | PA      | $92302.69      | 0.00%             | 2051-07-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B12 Mortgage Trust                                                                             | CUSIP: 08162FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2375457 | PA      | $2328563.28    | 0.05%             | 2052-08-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B12 Mortgage Trust                                                                             | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7579878 | PA      | $195115.91     | 0.00%             | 2052-08-15      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B8 Mortgage Trust                                                                              | CUSIP: 08162UAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29909675 | PA      | $441167.71     | 0.01%             | 2052-01-15      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B10 Mortgage Trust                                                                             | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18889276 | PA      | $648901.42     | 0.01%             | 2062-03-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B18 Mortgage Trust                                                                             | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5661582 | PA      | $289210.59     | 0.01%             | 2053-07-15      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B22 Mortgage Trust                                                                             | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13986258 | PA      | $864489.24     | 0.02%             | 2054-01-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2023-B40 Mortgage Trust                                                                             | CUSIP: 08163WAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9879484 | PA      | $542671.17     | 0.01%             | 2056-12-15      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners CLO XXXI Ltd                                                                          | CUSIP: 08183DAS2<br>LEI: 254900SVG14IYL7QTZ56 | Long             | ABS-CBDO         | CORP              | JE        |    4255000 | PA      | $4265616.23    | 0.09%             | 2038-04-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2023-B39 Mortgage Trust                                                                             | CUSIP: 081925AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32805144 | PA      | $1164956.58    | 0.03%             | 2056-07-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                         | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     980000 | PA      | $886410.00     | 0.02%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                         | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    2610000 | PA      | $2654370.00    | 0.06%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LEND                           | Blackstone Secured Lending Fund                                                                               | CUSIP: 09261XAL6<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    7085000 | PA      | $6982196.22    | 0.15%             | 2031-01-31      | Fixed         | 5.13%                 | No            |                  2 | On Loan: —       |
| Blue Owl Asset Leasing Trust                      | Blue Owl Asset Leasing Trust 2024-1 LLC                                                                       | CUSIP: 095921AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     850000 | PA      | $856357.15     | 0.02%             | 2030-03-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                                | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    4405000 | PA      | $4572655.31    | 0.10%             | 2035-11-19      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                    | BOCA Commercial Mortgage Trust 2024-BOCA                                                                      | CUSIP: 096817AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4410000 | PA      | $4426537.50    | 0.10%             | 2041-08-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                 | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     705000 | PA      | $680755.07     | 0.02%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                 | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1038665.69    | 0.02%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                 | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     195000 | PA      | $144504.82     | 0.00%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                 | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    6230000 | PA      | $6352571.01    | 0.14%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                 | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4725000 | PA      | $4860310.72    | 0.11%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                                                 | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1196350.00    | 0.03%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                                                 | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1675000 | PA      | $1853337.33    | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                | Boston Gas Co                                                                                                 | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    1719000 | PA      | $1632840.32    | 0.04%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM2                                                                     | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     296259 | PA      | $288101.09     | 0.01%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2022-NQM3                                                                     | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2306882 | PA      | $2302058.77    | 0.05%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM1                                                                     | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651378 | PA      | $611069.09     | 0.01%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                  | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1801998.47    | 0.04%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                  | CUSIP: 11135FCA7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2310000 | PA      | $2316731.36    | 0.05%             | 2028-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                  | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    5045000 | PA      | $5196783.72    | 0.11%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                  | CUSIP: 11135FCW9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3155000 | PA      | $3149065.45    | 0.07%             | 2030-10-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                               | Buckeye Partners LP                                                                                           | CUSIP: 118230AM3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     600000 | PA      | $562966.32     | 0.01%             | 2043-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                               | Buckeye Partners LP                                                                                           | CUSIP: 118230AW1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    1102000 | PA      | $1150136.46    | 0.03%             | 2030-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                          | Builders FirstSource Inc                                                                                      | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    1990000 | PA      | $1969984.98    | 0.04%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Trust 2020-1          | Bunker Hill Loan Depositary Trust 2020-1                                                                      | CUSIP: 12062RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88762 | PA      | $88247.73      | 0.00%             | 2055-02-25      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                               | BWAY Trust 2025-1535                                                                                          | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6020000 | PA      | $6300679.49    | 0.14%             | 2042-05-05      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-GW                                                                                              | CUSIP: 12433GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3645000 | PA      | $3650695.31    | 0.08%             | 2042-07-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                                                  | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3050000 | PA      | $2760611.49    | 0.06%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                      | CD 2016-CD1 Mortgage Trust                                                                                    | CUSIP: 12514MBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3412416 | PA      | $3378744.24    | 0.07%             | 2049-08-10      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| CENT Trust                                        | CENT 2025-CITY                                                                                                | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1619956.80    | 0.04%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending             | Cantor Commercial Real Estate Lending 2019-CF1                                                                | CUSIP: 12529MAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2402308 | PA      | $64915.64      | 0.00%             | 2052-05-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                                                       | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1519597 | PA      | $1299798.28    | 0.03%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                                                       | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1243529 | PA      | $1040655.74    | 0.02%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                                                       | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     641062 | PA      | $534696.38     | 0.01%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                                                       | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     706836 | PA      | $465386.26     | 0.01%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                                                       | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     954773 | PA      | $934035.02     | 0.02%             | 2062-08-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                          | CHS/Community Health Systems Inc                                                                              | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     675000 | PA      | $611975.25     | 0.01%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                          | CHS/Community Health Systems Inc                                                                              | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     650000 | PA      | $580255.86     | 0.01%             | 2031-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                          | CHS/Community Health Systems Inc                                                                              | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     525000 | PA      | $565965.75     | 0.01%             | 2032-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                                                                               | CUSIP: 125523CY4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    4385000 | PA      | $4424720.78    | 0.10%             | 2032-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CP ATLAS BUYER INC                                | CP Atlas Buyer Inc                                                                                            | CUSIP: 12597YAC3<br>LEI: 2549006ZZ07G0NDDCR36 | Long             | DBT              | CORP              | US        |    1075000 | PA      | $1121410.44    | 0.02%             | 2030-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| CP ATLAS BUYER INC                                | CP Atlas Buyer Inc                                                                                            | CUSIP: 12597YAD1<br>LEI: 2549006ZZ07G0NDDCR36 | Long             | DBT              | CORP              | US        |     550000 | PA      | $538693.10     | 0.01%             | 2031-01-15      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2015-C1 Commercial Mortgage Trust                                                                       | CUSIP: 126281BB9<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |      79608 | PA      | $0.80          | 0.00%             | 2050-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2016-C5 Commercial Mortgage Trust                                                                       | CUSIP: 12636LBA7<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |     418605 | PA      | $4.19          | 0.00%             | 2048-11-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2016-C6 Commercial Mortgage Trust                                                                       | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    4953468 | PA      | $49.53         | 0.00%             | 2049-01-15      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM1                                                                                                | CUSIP: 126407AA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     512911 | PA      | $466734.28     | 0.01%             | 2065-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                          | CSX Corp                                                                                                      | CUSIP: 126408HZ9<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    7370000 | PA      | $7495910.63    | 0.17%             | 2035-06-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Csmc 2022-Nqm1 Trust                                                                                          | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    6348928 | PA      | $5826141.78    | 0.13%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2017-FHA1 Trust                                                                                          | CUSIP: 12651RAA5<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     883277 | PA      | $813939.45     | 0.02%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-2R Mortgage Loan Trust                                                                              | CUSIP: 12656YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     578766 | PA      | $523294.44     | 0.01%             | 2054-07-27      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-AFC1 Trust                                                                                          | CUSIP: 12657LAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    1436913 | PA      | $1208086.34    | 0.03%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                                                   | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1291000 | PA      | $1239132.01    | 0.03%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                                                   | CUSIP: 12659DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1320000 | PA      | $1237434.40    | 0.03%             | 2039-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM8                                                                                                | CUSIP: 12659FAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    2530727 | PA      | $2281632.27    | 0.05%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM2                                                                                                | CUSIP: 12662EAA1<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    2618881 | PA      | $2337616.09    | 0.05%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL4 Trust                                                                                          | CUSIP: 12662GAC2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    1375646 | PA      | $1378676.95    | 0.03%             | 2060-12-27      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                                               | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1445000 | PA      | $1276826.04    | 0.03%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                                               | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     559000 | PA      | $487925.04     | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                                               | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1296000 | PA      | $1129564.76    | 0.02%             | 2031-09-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                                               | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2235000 | PA      | $2322674.58    | 0.05%             | 2054-12-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                                               | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2385000 | PA      | $2435313.15    | 0.05%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2024-CBM Mortgage Trust                                                                                  | CUSIP: 12674GAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2711000 | PA      | $2772760.92    | 0.06%             | 2041-12-10      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                | Coterra Energy Inc                                                                                            | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    3242000 | PA      | $3319840.10    | 0.07%             | 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        |    2523000 | PA      | $2541223.86    | 0.06%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CTM CLO Ltd                                       | CTM CLO 2025-1 Ltd                                                                                            | CUSIP: 12719PAA9<br>LEI: 254900KXN2P7HDYVVW84 | Long             | ABS-CBDO         | CORP              | KY        |   11150000 | PA      | $11184029.80   | 0.25%             | 2038-07-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                                                    | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3385000 | PA      | $3817642.37    | 0.08%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                                                    | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     670000 | PA      | $710435.02     | 0.02%             | 2035-02-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                                                    | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    1825000 | PA      | $1901944.19    | 0.04%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                                                    | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3020000 | PA      | $2998019.38    | 0.07%             | 2031-09-11      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                               | Cardinal Health Inc                                                                                           | CUSIP: 14149YBR8<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    5190000 | PA      | $5332254.53    | 0.12%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                               | Cardinal Health Inc                                                                                           | CUSIP: 14149YBU1<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    6385000 | PA      | $6419398.36    | 0.14%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                            | Cascade MH Asset Trust 2021-MH1                                                                               | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1219838 | PA      | $1097212.66    | 0.02%             | 2046-02-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1140397.50    | 0.03%             | 2030-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| CENTENE CORP                                      | Centene Corp                                                                                                  | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3740000 | PA      | $3218569.84    | 0.07%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                                  | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    2890000 | PA      | $2479331.00    | 0.05%             | 2031-08-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4590000 | PA      | $4754560.63    | 0.11%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     627000 | PA      | $605713.64     | 0.01%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     790000 | PA      | $785610.57     | 0.02%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2025000 | PA      | $1323656.42    | 0.03%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2210000 | PA      | $1799217.84    | 0.04%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     670000 | PA      | $705119.97     | 0.02%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1905000 | PA      | $1899851.19    | 0.04%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| CHENIERE ENERGY PARTNERS                          | Cheniere Energy Partners LP                                                                                   | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    4570000 | PA      | $4676728.24    | 0.10%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                        | CHICAGO IL BRD OF EDU                                                                                         | CUSIP: 167505KH8<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    1145000 | PA      | $1083856.31    | 0.02%             | 2039-12-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                        | CHICAGO IL BRD OF EDU                                                                                         | CUSIP: 167505NG7<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    2965000 | PA      | $2929642.38    | 0.06%             | 2029-11-01      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                  | Cinemark USA Inc                                                                                              | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2279895.20    | 0.05%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                 | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4215000 | PA      | $4299691.19    | 0.10%             | 2031-05-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                 | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5915000 | PA      | $5922183.89    | 0.13%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                       | Citibank NA                                                                                                   | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    2540000 | PA      | $2613333.89    | 0.06%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                          | Citizens Financial Group Inc                                                                                  | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     570000 | PA      | $624508.91     | 0.01%             | 2035-04-25      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                          | Citizens Financial Group Inc                                                                                  | CUSIP: 174610BJ3<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    2510000 | PA      | $2568004.17    | 0.06%             | 2031-03-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                 | Clean Harbors Inc                                                                                             | CUSIP: 184496AQ0<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |    3656000 | PA      | $3745637.81    | 0.08%             | 2031-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OP LLC                            | Clearway Energy Operating LLC                                                                                 | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     325000 | PA      | $323180.49     | 0.01%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OP LLC                            | Clearway Energy Operating LLC                                                                                 | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     735000 | PA      | $680638.44     | 0.02%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                          | Cleco Corporate Holdings LLC                                                                                  | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    1595000 | PA      | $1498746.15    | 0.03%             | 2029-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                            | Clydesdale Acquisition Holdings Inc                                                                           | CUSIP: 18972EAA3<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1104394.50    | 0.02%             | 2029-04-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                            | Clydesdale Acquisition Holdings Inc                                                                           | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1102249.50    | 0.02%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2022-4 Mortgage Loan Trust                                                                               | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838927 | PA      | $842718.00     | 0.02%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-1 Mortgage Loan Trust                                                                               | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1995059 | PA      | $1737583.75    | 0.04%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-4 Mortgage Loan Trust                                                                               | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2968885 | PA      | $2561001.68    | 0.06%             | 2066-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2022-1 Mortgage Loan Trust                                                                               | CUSIP: 19688HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5296104 | PA      | $4793385.80    | 0.11%             | 2066-12-27      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Cent CLO LP                                       | Columbia Cent CLO 27 Ltd                                                                                      | CUSIP: 19736RAS0<br>LEI: 549300066YASG4MIU864 | Long             | ABS-CBDO         | CORP              | KY        |    1915000 | PA      | $1915093.84    | 0.04%             | 2035-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                                                             | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1935000 | PA      | $1998109.27    | 0.04%             | 2034-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                                                             | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1148000 | PA      | $1168397.01    | 0.03%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                                                           | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     915000 | PA      | $976152.57     | 0.02%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                                  | CUSIP: 20030NBT7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     295000 | PA      | $249514.41     | 0.01%             | 2036-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                                  | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2995000 | PA      | $1814964.04    | 0.04%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                                  | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1901000 | PA      | $1101514.36    | 0.02%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Commercial Equipment Finance                      | Commercial Equipment Finance 2024-1 LLC                                                                       | CUSIP: 20166RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1478110 | PA      | $1492675.22    | 0.03%             | 2029-07-16      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II, LLC                | Compass Datacenters Issuer II LLC                                                                             | CUSIP: 20469AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2925000 | PA      | $2951067.60    | 0.07%             | 2049-02-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II, LLC                | Compass Datacenters Issuer II LLC                                                                             | CUSIP: 20469AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3725000 | PA      | $3741284.58    | 0.08%             | 2049-08-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3455000 | PA      | $3686070.40    | 0.08%             | 2042-03-25      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3120000 | PA      | $3290034.07    | 0.07%             | 2042-03-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5125000 | PA      | $5317024.53    | 0.12%             | 2042-01-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1344000 | PA      | $1353261.50    | 0.03%             | 2044-02-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3065486.40    | 0.07%             | 2041-11-25      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2866000 | PA      | $2930433.41    | 0.06%             | 2041-12-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1212400 | PA      | $1236587.74    | 0.03%             | 2041-10-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                                                             | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    2978000 | PA      | $2248488.60    | 0.05%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                                                             | CUSIP: 20826FBD7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     427000 | PA      | $317157.36     | 0.01%             | 2062-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                                                             | CUSIP: 20826FBE5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     675000 | PA      | $639718.20     | 0.01%             | 2053-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                                                             | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     300000 | PA      | $295484.68     | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                                                             | CUSIP: 20826FBH8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    2275000 | PA      | $2249910.16    | 0.05%             | 2063-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                                                             | CUSIP: 20826FBN5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    1935000 | PA      | $1905350.90    | 0.04%             | 2065-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                                                        | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    2045000 | PA      | $1400327.62    | 0.03%             | 2051-12-01      | Fixed         | 3.20%                 | 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        |     375000 | PA      | $384854.99     | 0.01%             | 2054-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                                                        | CUSIP: 209111GN7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    2415000 | PA      | $2410377.28    | 0.05%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H0226B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  115239000 | PA      | $99731167.92   | 2.21%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H0326B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     788000 | PA      | $721193.53     | 0.02%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -1810000 | PA      | $-1766254.58   | -0.04%            | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15242500 | PA      | $15194382.48   | 0.34%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H0526B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60500000 | PA      | $60998922.93   | 1.35%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H0606B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29148000 | PA      | $29663968.28   | 0.66%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COTY/HFC PRESTIGE/INT US                          | Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC                                          | CUSIP: 22207AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1830000 | PA      | $1836159.78    | 0.04%             | 2031-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                                                        | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $1844304.80    | 0.04%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                                                        | CUSIP: 224044CU9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    1415000 | PA      | $1399514.42    | 0.03%             | 2034-09-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                                                        | CUSIP: 224044CV7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    2585000 | PA      | $2355474.95    | 0.05%             | 2054-09-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                            | CUSIP: 225313AQ8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    4310000 | PA      | $4546414.96    | 0.10%             | 2035-01-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2024-3                                                                      | CUSIP: 22535LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5210000 | PA      | $5230831.14    | 0.12%             | 2034-09-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                            | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    9110000 | PA      | $9341529.83    | 0.21%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                            | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    2000000 | PA      | $1988231.18    | 0.04%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2024-2                                                                      | CUSIP: 22536VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5780000 | PA      | $5923575.78    | 0.13%             | 2034-08-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| CROSSCOUNTRY INTER                                | CrossCountry Intermediate HoldCo LLC                                                                          | CUSIP: 22757VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2321215.50    | 0.05%             | 2030-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                                              | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    3280000 | PA      | $3119705.81    | 0.07%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                                              | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    5185000 | PA      | $4619701.69    | 0.10%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                                              | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     630000 | PA      | $552379.50     | 0.01%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM5 Trust                                                                                          | CUSIP: 22946DAA0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    2031330 | PA      | $1726936.15    | 0.04%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust           | DBJPM 20-C9 Mortgage Trust                                                                                    | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4507866 | PA      | $199716.96     | 0.00%             | 2053-09-15      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust           | DBJPM 2016-C3 Mortgage Trust                                                                                  | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3560270.40    | 0.08%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                  | DT Midstream Inc                                                                                              | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2645000 | PA      | $2732335.33    | 0.06%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                      | DC Trust 2024-HLTN                                                                                            | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1410000 | PA      | $1427132.06    | 0.03%             | 2040-04-13      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                      | DC Trust 2024-HLTN                                                                                            | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     705000 | PA      | $710091.93     | 0.02%             | 2040-04-13      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2021-2                                                                   | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     823872 | PA      | $733084.64     | 0.02%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                                                        | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     635000 | PA      | $650165.62     | 0.01%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                                                        | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     575000 | PA      | $554102.62     | 0.01%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                                                        | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     981000 | PA      | $939929.10     | 0.02%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                                                        | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     715000 | PA      | $733585.75     | 0.02%             | 2035-04-01      | Fixed         | 5.55%                 | 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        |    1125000 | PA      | $1120368.71    | 0.02%             | 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        |    2468000 | PA      | $2911345.18    | 0.06%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                                                           | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    3555000 | PA      | $3646770.65    | 0.08%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                                                           | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   11270000 | PA      | $11417208.51   | 0.25%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2505100 | PA      | $2484389.34    | 0.05%             | 2047-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1449600 | PA      | $1397333.66    | 0.03%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4950025 | PA      | $4700153.68    | 0.10%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1439300 | PA      | $1323101.28    | 0.03%             | 2051-04-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $923287.54     | 0.02%             |  |  |  | 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      | $22467.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $6989.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1596.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $83293.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $30158.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                                                      | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $18852.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $7605.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $19902.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1975905.38    | 0.04%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $844213.57     | 0.02%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    2580000 | PA      | $2338237.75    | 0.05%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CBM6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     815000 | PA      | $631898.49     | 0.01%             | 2041-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     365000 | PA      | $363290.60     | 0.01%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    2490000 | PA      | $2248998.93    | 0.05%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2085174.38    | 0.05%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    5960000 | PA      | $5926098.92    | 0.13%             | 2035-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                             | Duke Energy Carolinas LLC                                                                                     | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1397971.59    | 0.03%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                              | Duke Energy Ohio Inc                                                                                          | CUSIP: 26442EAL4<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $1100572.68    | 0.02%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                                                      | CUSIP: 26442RAB7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1035000 | PA      | $905325.30     | 0.02%             | 2044-03-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                                                      | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1765000 | PA      | $1799913.92    | 0.04%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                                                      | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1405000 | PA      | $1417069.30    | 0.03%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                           | Duke Energy Indiana LLC                                                                                       | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    1215000 | PA      | $855836.12     | 0.02%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                           | Duke Energy Indiana LLC                                                                                       | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     525000 | PA      | $333529.92     | 0.01%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                           | Duke Energy Florida LLC                                                                                       | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2023111.64    | 0.04%             | 2030-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                   | Durst Commercial Mortgage Trust 2025-151                                                                      | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1840000 | PA      | $1875044.82    | 0.04%             | 2042-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                           | Eni SpA                                                                                                       | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    3890000 | PA      | $4009465.28    | 0.09%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                                                             | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     840000 | PA      | $839988.97     | 0.02%             | 2054-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                                                             | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    1695000 | PA      | $1731375.89    | 0.04%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                                                             | CUSIP: 26875PAZ4<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    2520000 | PA      | $2594326.44    | 0.06%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                     | EchoStar Corp                                                                                                 | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2218606.50    | 0.05%             | 2030-11-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                      | Ecopetrol SA                                                                                                  | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2350000 | PA      | $2435319.10    | 0.05%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                      | Ecopetrol SA                                                                                                  | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    4365000 | PA      | $4510419.98    | 0.10%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                              | Edison International                                                                                          | CUSIP: 281020BB2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    1447000 | PA      | $1432061.10    | 0.03%             | 2032-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| EDISON INTERNATIONAL                              | Edison International                                                                                          | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    3140000 | PA      | $3260877.50    | 0.07%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 23 Ltd                                | Elmwood CLO 23 Ltd                                                                                            | CUSIP: 29003YAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3720000 | PA      | $3725952.00    | 0.08%             | 2036-04-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                                                  | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     135000 | PA      | $142195.10     | 0.00%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                                                  | CUSIP: 29250NCF0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1825000 | PA      | $1949147.45    | 0.04%             | 2054-06-27      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     895000 | PA      | $612602.27     | 0.01%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1669778.41    | 0.04%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VCK7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $2095576.01    | 0.05%             | 2031-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     580000 | PA      | $590651.62     | 0.01%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL                          | Equitable America Global Funding                                                                              | CUSIP: 29446Q2E2<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    4415000 | PA      | $4405232.92    | 0.10%             | 2032-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                                                       | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     905000 | PA      | $856489.83     | 0.02%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                                                       | CUSIP: 29449WAT4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    1645000 | PA      | $1681656.06    | 0.04%             | 2030-03-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                                                             | CUSIP: 30040WAU2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    4180000 | PA      | $4243339.75    | 0.09%             | 2033-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                                                             | CUSIP: 30040WAX6<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    2999000 | PA      | $3106740.27    | 0.07%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                                                             | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    3235000 | PA      | $3223802.34    | 0.07%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2025-4                                                                    | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2365000 | PA      | $2367513.29    | 0.05%             | 2030-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                       | Extended Stay America Trust 2025-ESH                                                                          | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1010000 | PA      | $1013156.25    | 0.02%             | 2042-10-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                                                            | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     770000 | PA      | $741467.47     | 0.02%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                | Meta Platforms Inc                                                                                            | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    2615000 | PA      | $2532080.91    | 0.06%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                                                            | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    2480000 | PA      | $2458551.99    | 0.05%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                                                            | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    2465000 | PA      | $2477390.74    | 0.05%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 17-K68 Mortgage Trust                                                                                   | CUSIP: 30305EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     230000 | PA      | $226684.32     | 0.01%             | 2049-10-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2017-K69 Mortgage Trust                                                                                 | CUSIP: 30305KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     440000 | PA      | $432625.73     | 0.01%             | 2049-10-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                   | Fair Isaac Corp                                                                                               | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    3294000 | PA      | $3228276.14    | 0.07%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FS Trust                                          | FS Trust 2024-HULA                                                                                            | CUSIP: 30338DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760000 | PA      | $760712.50     | 0.02%             | 2039-08-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 30711XR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334890 | PA      | $344235.97     | 0.01%             | 2030-12-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| FORVIA SE                                         | Forvia SE                                                                                                     | CUSIP: 31209DAC9<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |    1240000 | PA      | $1257821.28    | 0.03%             | 2033-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31283H7E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9319 | PA      | $9679.96       | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31288BPE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        612 | PA      | $626.49        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128L9PZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54788 | PA      | $56341.88      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128LB3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77843 | PA      | $81759.71      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128LBS33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15732 | PA      | $16333.36      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2402 | PA      | $2504.05       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128M6BR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1042 | PA      | $1082.19       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129572 | PA      | $130795.57     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603005 | PA      | $628562.09     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128M84A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6853 | PA      | $7123.02       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128M8GS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25725 | PA      | $26744.51      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128M8JE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2244 | PA      | $2307.48       | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128M9BP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148444 | PA      | $154191.51     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128M9C34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131226 | PA      | $136387.24     | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MABU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     548923 | PA      | $538485.37     | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJ2X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     610219 | PA      | $592622.36     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38038 | PA      | $39617.30      | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10331 | PA      | $10872.68      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJAM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9164 | PA      | $9544.27       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11314 | PA      | $11758.91      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11748 | PA      | $12202.81      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJML1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150094 | PA      | $154353.42     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6339 | PA      | $5784.02       | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     790494 | PA      | $771146.29     | 0.02%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128P76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     478632 | PA      | $467880.70     | 0.01%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31292H2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33088 | PA      | $34404.08      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31292H6Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24184 | PA      | $25130.36      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 312935NT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50753 | PA      | $51869.71      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 312936CE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3946 | PA      | $4057.90       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3129383F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148188 | PA      | $151444.41     | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3129412S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24239 | PA      | $24771.70      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 312941UZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24316 | PA      | $25006.10      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31297EL87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5857 | PA      | $6155.59       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31297ENF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2394 | PA      | $2480.59       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31297HUB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10163 | PA      | $10594.47      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31307VYC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74756 | PA      | $72917.83      | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3131XYTF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     517610 | PA      | $486056.39     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3131YBFP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     752610 | PA      | $704885.16     | 0.02%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 31325UD86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2710450 | PA      | $214430.14     | 0.00%             | 2033-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 31325UEE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1346763 | PA      | $208512.23     | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4161137 | PA      | $666365.81     | 0.01%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 31325YBX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8408715 | PA      | $995231.39     | 0.02%             | 2042-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 31325YCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4894265 | PA      | $738880.19     | 0.02%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 31325YCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10106733 | PA      | $957746.62     | 0.02%             | 2042-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 31325YRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5658986 | PA      | $746079.02     | 0.02%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 31329QG54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2111139 | PA      | $2034986.34    | 0.04%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 31329QM40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1337972 | PA      | $1292210.92    | 0.03%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2084517 | PA      | $2031625.79    | 0.04%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132CXYW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2380381 | PA      | $2404582.91    | 0.05%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132D6DL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4492820 | PA      | $4593469.19    | 0.10%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1227777 | PA      | $1043813.08    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3783485 | PA      | $3116294.92    | 0.07%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1752511 | PA      | $1693608.44    | 0.04%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DNTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1483949 | PA      | $1331357.49    | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DPKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     631065 | PA      | $539699.71     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DPR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3275459 | PA      | $3328053.68    | 0.07%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DPXR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2705093 | PA      | $2650796.52    | 0.06%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DPZS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     715949 | PA      | $693967.42     | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DQJD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1452042 | PA      | $1457414.99    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DQLJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197266 | PA      | $192471.95     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DQR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4133253 | PA      | $3527056.81    | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1561466 | PA      | $1336238.43    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2445307 | PA      | $2002631.05    | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DVL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1125164 | PA      | $1013968.74    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     470919 | PA      | $409786.55     | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     855456 | PA      | $743879.85     | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2309007 | PA      | $1905608.95    | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5625072 | PA      | $4598553.81    | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2187580 | PA      | $1863629.92    | 0.04%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1848456 | PA      | $1510939.18    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     892141 | PA      | $689251.77     | 0.02%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2344667 | PA      | $1811449.39    | 0.04%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133549 | PA      | $133510.03     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWH22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151337 | PA      | $152921.08     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14262872 | PA      | $14442935.31   | 0.32%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31414 | PA      | $31812.14      | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     848944 | PA      | $859441.54     | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44494 | PA      | $45086.59      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23161154 | PA      | $23420177.21   | 0.52%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1106915 | PA      | $1120347.99    | 0.02%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     243130 | PA      | $245968.17     | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14985970 | PA      | $15343337.87   | 0.34%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15709121 | PA      | $15884450.50   | 0.35%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18647643 | PA      | $18852305.59   | 0.42%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24647571 | PA      | $24531929.64   | 0.54%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35591374 | PA      | $35965027.55   | 0.80%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3132E0N32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     860152 | PA      | $840933.19     | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132HLE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152661 | PA      | $149598.77     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132HLX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196293 | PA      | $192355.84     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132KEUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148605 | PA      | $146328.31     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132L6NA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9724 | PA      | $9588.70       | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132L83D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1005183 | PA      | $943146.52     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132L9XW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     368423 | PA      | $344427.99     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132LQA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1141823 | PA      | $1086891.26    | 0.02%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132LQCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1130633 | PA      | $1076097.17    | 0.02%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132M7X37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53888 | PA      | $51857.46      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132M9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173579 | PA      | $171360.98     | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132QVVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175993 | PA      | $170629.05     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132WEDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159738 | PA      | $151316.63     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132WJEU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204701 | PA      | $187410.01     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132WJEV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405931 | PA      | $371643.39     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132WJPR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215915 | PA      | $196901.20     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132WJUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5263877 | PA      | $4802927.61    | 0.11%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132WLUG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48852 | PA      | $49154.90      | 0.00%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     959970 | PA      | $905331.34     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132XUR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18829 | PA      | $19123.71      | 0.00%             | 2047-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132XWCG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1486891 | PA      | $1393292.71    | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132XYCW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80741 | PA      | $75898.75      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132Y2HF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94622 | PA      | $91619.84      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31335A7C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96587 | PA      | $99323.28      | 0.00%             | 2044-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31335ABD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65619 | PA      | $67477.55      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     967741 | PA      | $975495.59     | 0.02%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31335AH92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274892 | PA      | $276643.39     | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                         | CUSIP: 31335AZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2873563 | PA      | $2622829.72    | 0.06%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2861939 | PA      | $2339058.86    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133AGCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2104292 | PA      | $1730213.26    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133AGLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2812226 | PA      | $2312439.73    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133AQUG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     862221 | PA      | $739676.02     | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133AUDY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2952078 | PA      | $2656766.46    | 0.06%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133BHZP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1901687 | PA      | $1897644.51    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133BPGR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     721123 | PA      | $720549.04     | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133BRRK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     965224 | PA      | $962918.85     | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133C9KN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     791398 | PA      | $802302.45     | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133GDKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     812298 | PA      | $752659.66     | 0.02%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KH4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1249758 | PA      | $1082783.94    | 0.02%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KJ3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2565708 | PA      | $2205151.98    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KJGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1471064 | PA      | $1263127.51    | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KJJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5206057 | PA      | $4499656.91    | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KKND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2810567 | PA      | $2410625.94    | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1035835 | PA      | $888196.90     | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KLTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4220311 | PA      | $3449228.84    | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KME92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     674343 | PA      | $576985.30     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     960667 | PA      | $785936.73     | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1565651 | PA      | $1340790.40    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     976641 | PA      | $802775.56     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2057924 | PA      | $2114009.96    | 0.05%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQGQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1818155 | PA      | $1880062.99    | 0.04%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KQWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     858449 | PA      | $891417.86     | 0.02%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KTMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405006 | PA      | $349330.01     | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KTYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2831116 | PA      | $2464464.34    | 0.05%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2515070 | PA      | $2192291.47    | 0.05%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 3133Q5AA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4684628 | PA      | $690094.21     | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133USHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2467757 | PA      | $2120173.73    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A0M38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $76013.26      | 0.00%             | 2041-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A5P34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77554 | PA      | $1166.53       | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A6DE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9019 | PA      | $597.38        | 0.00%             | 2042-05-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A6MP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306576 | PA      | $68538.10      | 0.00%             | 2042-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A6U85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        179 | PA      | $0.46          | 0.00%             | 2027-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A8CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457812 | PA      | $22955.02      | 0.00%             | 2042-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A8GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37101 | PA      | $654.69        | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A9BW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107950 | PA      | $10921.22      | 0.00%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A9GA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82975 | PA      | $1964.14       | 0.00%             | 2027-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AADL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31267 | PA      | $617.06        | 0.00%             | 2027-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AAF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     753342 | PA      | $685551.18     | 0.02%             | 2042-12-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AAKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50055 | PA      | $4443.01       | 0.00%             | 2042-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ABFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136458 | PA      | $1800.10       | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ACY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420000 | PA      | $342990.35     | 0.01%             | 2043-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AFXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52456 | PA      | $1180.88       | 0.00%             | 2028-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AG5K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125411 | PA      | $123739.75     | 0.00%             | 2043-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AKT45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490113 | PA      | $84316.71      | 0.00%             | 2044-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AKXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     496145 | PA      | $31427.49      | 0.00%             | 2044-08-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AL3J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2961316 | PA      | $2730997.86    | 0.06%             | 2045-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ANHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     587286 | PA      | $26504.04      | 0.00%             | 2055-04-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ANMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144369 | PA      | $6991.79       | 0.00%             | 2030-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ANV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438954 | PA      | $21542.96      | 0.00%             | 2055-06-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AP2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224880 | PA      | $19714.40      | 0.00%             | 2035-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AP2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45868 | PA      | $1560.85       | 0.00%             | 2030-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AR4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495590 | PA      | $24270.46      | 0.00%             | 2046-05-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ARFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9222 | PA      | $44.51         | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ASAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     989685 | PA      | $191520.32     | 0.00%             | 2043-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AT4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312984 | PA      | $59100.05      | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AWSV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26586 | PA      | $25979.43      | 0.00%             | 2044-07-25      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AX2G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600000 | PA      | $467921.34     | 0.01%             | 2057-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B1F66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $452888.85     | 0.01%             | 2048-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B3SL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2171690 | PA      | $1983709.43    | 0.04%             | 2058-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B5PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     870902 | PA      | $798617.67     | 0.02%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                                               | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9375779 | PA      | $320770.70     | 0.01%             | 2029-05-25      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                                               | CUSIP: 3136B75H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7233142 | PA      | $61271.95      | 0.00%             | 2030-01-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B9W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3299517 | PA      | $665379.56     | 0.01%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B9YK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1090911 | PA      | $65251.83      | 0.00%             | 2033-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136B9YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1389560 | PA      | $118740.95     | 0.00%             | 2039-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BCVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3532949 | PA      | $719791.40     | 0.02%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4889097 | PA      | $755145.51     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4510644 | PA      | $776094.56     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BKWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4506904 | PA      | $717498.59     | 0.02%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BLGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3005031 | PA      | $2607675.98    | 0.06%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BPUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11533873 | PA      | $1407445.11    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BS6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6788460 | PA      | $360135.96     | 0.01%             | 2054-10-25      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BSPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1965971 | PA      | $1983856.73    | 0.04%             | 2051-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BTWB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4785262 | PA      | $4918780.67    | 0.11%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BURE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3695427 | PA      | $3733682.53    | 0.08%             | 2052-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BUSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4064631 | PA      | $4113209.88    | 0.09%             | 2052-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BVBZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8411680 | PA      | $463981.52     | 0.01%             | 2055-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BVC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3748615 | PA      | $3748601.58    | 0.08%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BWNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3469985 | PA      | $3508245.18    | 0.08%             | 2051-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 3136FGRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     521198 | PA      | $469835.86     | 0.01%             | 2039-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31371JDS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2383 | PA      | $2461.68       | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31374CSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2416424 | PA      | $2238176.64    | 0.05%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31374CSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3000471 | PA      | $2849181.70    | 0.06%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AETZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        411 | PA      | $0.66          | 0.00%             | 2026-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AFB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13849 | PA      | $146.43        | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AJUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1689358 | PA      | $1643734.54    | 0.04%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AMVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $0.01          | 0.00%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AQ6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287681 | PA      | $271282.10     | 0.01%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137ARZH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12737 | PA      | $173.44        | 0.00%             | 2027-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AWF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     502662 | PA      | $441656.83     | 0.01%             | 2042-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AYCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131760 | PA      | $1632.87       | 0.00%             | 2041-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B05Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183300 | PA      | $12509.36      | 0.00%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B06E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46840 | PA      | $896.71        | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B0Q64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12981 | PA      | $79.24         | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B0WS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58608 | PA      | $1322.28       | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B16D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121078 | PA      | $2799.42       | 0.00%             | 2028-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B16E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3718 | PA      | $5.68          | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B27G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2021313 | PA      | $1918242.35    | 0.04%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B2AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81482 | PA      | $1911.83       | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B2JF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13336 | PA      | $125.44        | 0.00%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137B4XC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1121278 | PA      | $1069469.91    | 0.02%             | 2041-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BGWY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2642664 | PA      | $533652.16     | 0.01%             | 2045-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192128 | PA      | $9946.42       | 0.00%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BL7E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3584072 | PA      | $3424204.87    | 0.08%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BLP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     712447 | PA      | $676831.39     | 0.01%             | 2045-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293856 | PA      | $37506.80      | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BSCE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     949681 | PA      | $179532.23     | 0.00%             | 2046-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BSMR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255198 | PA      | $44591.51      | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BTFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     435937 | PA      | $63236.35      | 0.00%             | 2046-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137BTKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1482478 | PA      | $1390344.81    | 0.03%             | 2046-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137BVZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6488740 | PA      | $18840.71      | 0.00%             | 2027-01-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137BXHC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     995000 | PA      | $943894.11     | 0.02%             | 2031-10-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19675959 | PA      | $123913.28     | 0.00%             | 2027-03-25      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11299998 | PA      | $100776.77     | 0.00%             | 2027-06-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5638338 | PA      | $203746.42     | 0.00%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10182827 | PA      | $409449.44     | 0.01%             | 2030-10-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137F9DQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2542617 | PA      | $2229869.63    | 0.05%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23924078 | PA      | $733545.73     | 0.02%             | 2030-12-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FHJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     452222 | PA      | $88038.10      | 0.00%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10007914 | PA      | $284047.62     | 0.01%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4972531 | PA      | $21216.79      | 0.00%             | 2026-10-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11244471 | PA      | $439963.53     | 0.01%             | 2030-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FT6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1178252 | PA      | $176303.89     | 0.00%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FUSU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4415502 | PA      | $702819.44     | 0.02%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7616385 | PA      | $453227.46     | 0.01%             | 2030-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12199731 | PA      | $657900.98     | 0.01%             | 2030-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16852967 | PA      | $731907.51     | 0.02%             | 2030-06-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H2T20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5314289 | PA      | $901316.11     | 0.02%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     729120 | PA      | $641883.82     | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H54D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3362665 | PA      | $552703.71     | 0.01%             | 2045-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H6KN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2551496 | PA      | $2303256.77    | 0.05%             | 2052-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137HBP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10209231 | PA      | $281633.90     | 0.01%             | 2033-12-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137HDUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19050443 | PA      | $458296.51     | 0.01%             | 2034-05-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HFY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13680830 | PA      | $628746.33     | 0.01%             | 2054-10-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137HHUJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28598845 | PA      | $456960.93     | 0.01%             | 2034-10-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HLB68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12385327 | PA      | $881067.42     | 0.02%             | 2055-05-25      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137HM3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2675137 | PA      | $2672758.22    | 0.06%             | 2052-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31384HLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        837 | PA      | $845.04        | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46790 | PA      | $48470.39      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385XEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35742 | PA      | $36995.81      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41374 | PA      | $42408.30      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31387WJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6647 | PA      | $6737.61       | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138A9CW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275691 | PA      | $270019.52     | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138AAYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25725 | PA      | $25212.10      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138AD3Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6696 | PA      | $6718.20       | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138ANYS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27345 | PA      | $27481.17      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138EQFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294471 | PA      | $296181.57     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138EQFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236855 | PA      | $238571.15     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138L8E83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300023 | PA      | $292999.01     | 0.01%             | 2029-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138M5VP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105991 | PA      | $103711.48     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138M8VW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286649 | PA      | $280573.32     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657605 | PA      | $594098.19     | 0.01%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138W2RF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131992 | PA      | $119054.15     | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138W9KM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235883 | PA      | $210229.07     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138WDJP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69296 | PA      | $67219.51      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138WMHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357113 | PA      | $323142.00     | 0.01%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138WMKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403257 | PA      | $366647.12     | 0.01%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138WTRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29577 | PA      | $26892.49      | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138X5QA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84751 | PA      | $80480.54      | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138XSP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38270 | PA      | $37123.38      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138XXY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5641 | PA      | $5470.91       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138Y3XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524036 | PA      | $497509.25     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138Y4D89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43967 | PA      | $42617.32      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3138YR6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     380761 | PA      | $369817.45     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31391NMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40859 | PA      | $42671.26      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 31394GXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10494 | PA      | $10868.77      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 31394VV56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22234 | PA      | $19866.26      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 31395Q3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1576464 | PA      | $127776.98     | 0.00%             | 2033-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 31395Q3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1135534 | PA      | $238351.58     | 0.01%             | 2043-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 31395QCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32448 | PA      | $287.35        | 0.00%             | 2027-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108966 | PA      | $112992.90     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 31396VGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128544 | PA      | $132916.21     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 31397CNW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24185 | PA      | $20468.34      | 0.00%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 31397LTB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41914 | PA      | $42277.48      | 0.00%             | 2038-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 31397UKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431048 | PA      | $329670.19     | 0.01%             | 2041-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 31398CR59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156303 | PA      | $165685.89     | 0.00%             | 2039-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 31398EX82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     504126 | PA      | $510536.44     | 0.01%             | 2039-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 31398SBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     891942 | PA      | $101722.59     | 0.00%             | 2040-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31401PDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108207 | PA      | $109325.34     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31402JH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10038 | PA      | $10161.81      | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131896 | PA      | $137323.72     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31407NQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184663 | PA      | $186186.01     | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140A3H22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     704827 | PA      | $714375.39     | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140A4VY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52936 | PA      | $53538.74      | 0.00%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140A5RL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89930 | PA      | $91175.84      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140A8XK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196558 | PA      | $198833.21     | 0.00%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140E47L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102762 | PA      | $97071.53      | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140EWKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128790 | PA      | $124771.40     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140F4UB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88514 | PA      | $85650.92      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140F5SH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344283 | PA      | $322981.01     | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140F5Z63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114058 | PA      | $110262.80     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140F8BQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111658 | PA      | $108046.99     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140FFLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471502 | PA      | $445536.56     | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140FHLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385583 | PA      | $363574.83     | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140FJB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410085 | PA      | $388178.14     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140FXFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3018530 | PA      | $2579798.11    | 0.06%             | 2057-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4276430 | PA      | $3912155.65    | 0.09%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140FXGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1900619 | PA      | $1855309.02    | 0.04%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140FXHP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     875214 | PA      | $867489.90     | 0.02%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140FXJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1723665 | PA      | $1576836.62    | 0.03%             | 2058-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140GPSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383820 | PA      | $371759.14     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140GT7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373837 | PA      | $352740.32     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140H23B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305588 | PA      | $288811.47     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140H6C80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238876 | PA      | $224474.92     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140HGL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1676993 | PA      | $1473180.25    | 0.03%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     769417 | PA      | $744526.64     | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140J9R86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3960153 | PA      | $3747735.00    | 0.08%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140JGWZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505767 | PA      | $489088.36     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140JLA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1649418 | PA      | $1595050.10    | 0.04%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482405 | PA      | $417796.08     | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140KP7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7565591 | PA      | $6184981.69    | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140KSK71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1705435 | PA      | $1319019.42    | 0.03%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140KTS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3376606 | PA      | $2772973.56    | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4383428 | PA      | $3569123.21    | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2328482 | PA      | $1897740.05    | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140L22Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3745007 | PA      | $3055992.01    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1350388 | PA      | $1185683.26    | 0.03%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140LKFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     760000 | PA      | $770688.29     | 0.02%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140LRBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353193 | PA      | $328337.29     | 0.01%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140LUFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2287254 | PA      | $2047728.38    | 0.05%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140LWEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1472949 | PA      | $1369279.38    | 0.03%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1248815 | PA      | $1076226.06    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140M2FC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1339985 | PA      | $1138196.45    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140M5E50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77660 | PA      | $63834.67      | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140M7SW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     996144 | PA      | $926022.79     | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140M9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1392386 | PA      | $1244520.73    | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140M9X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2208050 | PA      | $1902937.41    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16375489 | PA      | $13908532.37   | 0.31%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140MHUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1551271 | PA      | $1389820.75    | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N0BD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580442 | PA      | $579738.31     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N2AJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2691756 | PA      | $2688437.91    | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N2RJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114958 | PA      | $114642.07     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N56C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598155 | PA      | $597950.63     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N5AC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657040 | PA      | $656510.34     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N7H60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     828020 | PA      | $836702.00     | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140N9DP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3444161 | PA      | $3444048.90    | 0.08%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NQB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85913 | PA      | $87011.64      | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NQDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45705 | PA      | $46331.31      | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NUBN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3515000 | PA      | $3617795.26    | 0.08%             | 2028-12-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140NUVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4474128 | PA      | $4526209.40    | 0.10%             | 2029-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140Q05L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3481000 | PA      | $3438406.07    | 0.08%             | 2030-10-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140Q06L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2785000 | PA      | $2826053.88    | 0.06%             | 2030-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140Q0X80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3434259 | PA      | $3399216.82    | 0.08%             | 2030-10-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140Q7QD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1287078 | PA      | $1209411.75    | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140Q8FN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     876389 | PA      | $819704.66     | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1072392 | PA      | $970303.46     | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QD2M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3346745 | PA      | $3049466.60    | 0.07%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QDDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1428966 | PA      | $1222990.44    | 0.03%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QEBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267090 | PA      | $228082.12     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QEK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     923090 | PA      | $821085.91     | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QEP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2102071 | PA      | $1869461.10    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QEYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2594816 | PA      | $2130971.42    | 0.05%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3468973 | PA      | $3011503.32    | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QFFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1595642 | PA      | $1419566.99    | 0.03%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QFSY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2128927 | PA      | $1815188.93    | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2240223 | PA      | $1843798.37    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QGGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     483809 | PA      | $425843.29     | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QGMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1214373 | PA      | $1000957.61    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QGPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1061809 | PA      | $910712.82     | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QHHG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     939322 | PA      | $805444.61     | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QHM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11033305 | PA      | $9001554.70    | 0.20%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QKF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     732917 | PA      | $653557.63     | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2441781 | PA      | $2093769.75    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QKP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9776412 | PA      | $8402912.61    | 0.19%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QKQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514634 | PA      | $450876.06     | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4851032 | PA      | $4190621.90    | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QL6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1703650 | PA      | $1317298.64    | 0.03%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2096881 | PA      | $1798019.63    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QMAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1198876 | PA      | $1039117.31    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8551250 | PA      | $7335896.29    | 0.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QMV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1016702 | PA      | $908807.29     | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QQ2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120282 | PA      | $120563.05     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QQ3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6592622 | PA      | $6699580.79    | 0.15%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QQNQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107707 | PA      | $108361.88     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QQPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1975448 | PA      | $2008318.75    | 0.04%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QQVF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2323134 | PA      | $2360951.60    | 0.05%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QSF22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3446182 | PA      | $3500856.89    | 0.08%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QSYM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314717 | PA      | $318544.37     | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QVCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6797566 | PA      | $6868578.12    | 0.15%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QVP65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10037288 | PA      | $10292757.77   | 0.23%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140W27D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7816107 | PA      | $7991459.49    | 0.18%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X4TQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593512 | PA      | $587673.46     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X63P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1521404 | PA      | $1307393.06    | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228856 | PA      | $1161209.05    | 0.03%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X6MR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454247 | PA      | $442809.23     | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X6QS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276241 | PA      | $259406.49     | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X6WG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     625808 | PA      | $592790.86     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X6YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459372 | PA      | $435320.53     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X7DV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409999 | PA      | $406270.83     | 0.01%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X7GK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2455724 | PA      | $2338111.88    | 0.05%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X7K40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     791378 | PA      | $748305.07     | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X7YJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1355325 | PA      | $1235226.45    | 0.03%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X8HK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4889340 | PA      | $4730719.00    | 0.10%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1318379 | PA      | $1086093.90    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X8W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2274314 | PA      | $2023703.21    | 0.04%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1552337 | PA      | $1344434.04    | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XALY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     841516 | PA      | $721427.57     | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XAUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5677111 | PA      | $4879648.54    | 0.11%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XBVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1020983 | PA      | $939714.42     | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XCJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1923173 | PA      | $1770091.54    | 0.04%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XCPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3916298 | PA      | $3779988.18    | 0.08%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XDDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     717765 | PA      | $625702.57     | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     653999 | PA      | $586623.74     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XDH74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1492376 | PA      | $1301889.07    | 0.03%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XDRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8544123 | PA      | $7369667.94    | 0.16%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XF3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1348290 | PA      | $1169578.42    | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XFBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1848677 | PA      | $1678300.44    | 0.04%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5006919 | PA      | $4358441.78    | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XFX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1828948 | PA      | $1637419.68    | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XGCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     849411 | PA      | $768068.09     | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XGGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2012322 | PA      | $1739042.00    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XGGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1308071 | PA      | $1124102.49    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4672890 | PA      | $4162516.36    | 0.09%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XGQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3030003 | PA      | $2934564.12    | 0.06%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XGRG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3041608 | PA      | $2733189.22    | 0.06%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     742859 | PA      | $607217.18     | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XH3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2037070 | PA      | $1825420.60    | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1629715 | PA      | $1392571.18    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHC62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179614 | PA      | $174692.80     | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096859 | PA      | $981494.23     | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     980537 | PA      | $883177.70     | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4334564 | PA      | $4158042.86    | 0.09%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2369573 | PA      | $1830709.12    | 0.04%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2028527 | PA      | $1942398.39    | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHUE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1384173 | PA      | $1337004.16    | 0.03%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1954126 | PA      | $1628601.29    | 0.04%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XHWM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     760487 | PA      | $735876.56     | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XJAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3336650 | PA      | $3109891.71    | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XJED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423386 | PA      | $411785.80     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XJLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568471 | PA      | $492222.43     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XJNJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2082684 | PA      | $1794211.90    | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XJUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1002862 | PA      | $1019472.58    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XJZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1853232 | PA      | $1574368.27    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XKAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3101975 | PA      | $2652555.52    | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XKFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1489059 | PA      | $1494723.30    | 0.03%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XKSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3591469 | PA      | $3510481.68    | 0.08%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XLDK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1672249 | PA      | $1449923.78    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XLEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1877212 | PA      | $1948136.37    | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XMDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535884 | PA      | $522197.40     | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XMW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525780 | PA      | $513653.04     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2729313 | PA      | $2761175.53    | 0.06%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XPV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1165116 | PA      | $1199127.77    | 0.03%             | 2044-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XQ6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2617278 | PA      | $2681823.02    | 0.06%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31410KD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56489 | PA      | $59387.38      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31412TXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24268 | PA      | $25594.05      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31413YL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109786 | PA      | $115788.10     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31416VS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125630 | PA      | $132489.59     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31416WM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16320 | PA      | $16455.45      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31416WNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18282 | PA      | $18386.85      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31416XE71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113629 | PA      | $111607.66     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31417FMM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155539 | PA      | $140968.23     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31417GEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351136 | PA      | $317226.28     | 0.01%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147721 | PA      | $132174.07     | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227360 | PA      | $222801.39     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418B4J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171407 | PA      | $166400.88     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418BL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129916 | PA      | $127638.81     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     462527 | PA      | $438394.44     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418BPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46214 | PA      | $44805.82      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418BQ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62700 | PA      | $60756.04      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418BRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216261 | PA      | $207052.53     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199875 | PA      | $190679.22     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1315555 | PA      | $1252605.46    | 0.03%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418CQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42556 | PA      | $40089.73      | 0.00%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     793360 | PA      | $767487.63     | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418D4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     864539 | PA      | $668393.02     | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418D4Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1624485 | PA      | $1445537.90    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1245378 | PA      | $1085646.22    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1738275 | PA      | $1342969.35    | 0.03%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622839 | PA      | $555260.67     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2555194 | PA      | $2182819.90    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4972027 | PA      | $4319912.68    | 0.10%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4434209 | PA      | $3631482.81    | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4143401 | PA      | $3389002.76    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3965376 | PA      | $3241742.16    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9738492 | PA      | $7955243.33    | 0.18%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1593351 | PA      | $1395942.25    | 0.03%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4748883 | PA      | $3880779.47    | 0.09%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6576209 | PA      | $5600901.73    | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3612042 | PA      | $3084187.58    | 0.07%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418E2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8269956 | PA      | $8466410.75    | 0.19%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418E5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3664125 | PA      | $3747856.03    | 0.08%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418E7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3412130 | PA      | $3490162.99    | 0.08%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16813825 | PA      | $16809813.40   | 0.37%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5858619 | PA      | $5859033.46    | 0.13%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418ERM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1440665 | PA      | $1472806.24    | 0.03%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     846656 | PA      | $855520.31     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3496373 | PA      | $3539452.91    | 0.08%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45756895 | PA      | $46265925.65   | 1.02%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31419A3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     566047 | PA      | $570150.27     | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31419AG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561791 | PA      | $584195.55     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31419AU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43626 | PA      | $42836.96      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107141 | PA      | $104981.95     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31419CSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10316 | PA      | $10401.01      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261526 | PA      | $256227.93     | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31419FVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     833097 | PA      | $816304.08     | 0.02%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 31422M2A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5612159 | PA      | $708157.72     | 0.02%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 31422MZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8524004 | PA      | $819559.74     | 0.02%             | 2042-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 31423YVK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4906458 | PA      | $766767.01     | 0.02%             | 2052-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                     | CUSIP: 31424UPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4701781 | PA      | $723325.58     | 0.02%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 31427MTL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7890496 | PA      | $8077870.40    | 0.18%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                            | CUSIP: 3142G5QB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6026055 | PA      | $937580.89     | 0.02%             | 2052-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3142GSB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8367776 | PA      | $8592142.03    | 0.19%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3142GSP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7757455 | PA      | $7955202.32    | 0.18%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2021-2                                                                     | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     906242 | PA      | $763708.61     | 0.02%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2022-1                                                                     | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2851717 | PA      | $2516577.15    | 0.06%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                     | FirstCash Inc                                                                                                 | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |     893000 | PA      | $880771.69     | 0.02%             | 2028-09-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR2 Trust                                                                                | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7615924 | PA      | $7595661.77    | 0.17%             | 2039-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR1 Trust                                                                                | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1803065 | PA      | $1795179.92    | 0.04%             | 2039-05-19      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                | Ford Motor Co                                                                                                 | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    6120000 | PA      | $5337007.63    | 0.12%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                             | Foundry JV Holdco LLC                                                                                         | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    9490000 | PA      | $10117657.02   | 0.22%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                             | Foundry JV Holdco LLC                                                                                         | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     990000 | PA      | $1026747.42    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                             | Foundry JV Holdco LLC                                                                                         | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    2165000 | PA      | $2278892.18    | 0.05%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                                                 | CUSIP: 35563PFJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1689840 | PA      | $1620934.37    | 0.04%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4                                                 | CUSIP: 35563PHE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3336259 | PA      | $2989642.81    | 0.07%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                                                 | CUSIP: 35563PJH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4573284 | PA      | $4347581.48    | 0.10%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                                                 | CUSIP: 35563PKJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     934546 | PA      | $884832.64     | 0.02%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                                                 | CUSIP: 35563PLG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2638533 | PA      | $2375722.09    | 0.05%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                                                 | CUSIP: 35563PLK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     801229 | PA      | $763350.16     | 0.02%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-1                                                 | CUSIP: 35563PNN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1905782 | PA      | $1575417.76    | 0.03%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2023-HQA2                                                                       | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |    6760000 | PA      | $7004096.84    | 0.15%             | 2043-06-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2023-HQA3                                                                       | CUSIP: 35564K3F4<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | USGSE             | US        |     841167 | PA      | $849317.63     | 0.02%             | 2043-11-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-HQA2                                                                       | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | USGSE             | US        |    2585000 | PA      | $2715768.17    | 0.06%             | 2042-07-25      | Floating      | 8.18%                 | 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        |    1040000 | PA      | $1087455.20    | 0.02%             | 2042-08-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA6                                                                       | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | USGSE             | US        |    2890000 | PA      | $3029566.48    | 0.07%             | 2042-09-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-HQA3                                                                       | CUSIP: 35564KKK4<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | USGSE             | US        |   10155000 | PA      | $10323166.80   | 0.23%             | 2041-09-25      | Floating      | 7.53%                 | 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        |   11830000 | PA      | $12081167.46   | 0.27%             | 2041-10-25      | Floating      | 7.58%                 | 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        |    6474000 | PA      | $6639151.74    | 0.15%             | 2041-11-25      | Floating      | 7.83%                 | 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        |    2810000 | PA      | $2905870.46    | 0.06%             | 2042-02-25      | Floating      | 7.93%                 | 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        |    4865000 | PA      | $5123477.45    | 0.11%             | 2042-03-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA3                                                                       | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    2422000 | PA      | $2515031.44    | 0.06%             | 2042-04-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA4                                                                       | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    3377000 | PA      | $3500274.35    | 0.08%             | 2042-05-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2023-HQA1                                                                       | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | USGSE             | US        |    6410000 | PA      | $6738530.45    | 0.15%             | 2043-05-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA5                                                                       | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |    4090000 | PA      | $4317526.70    | 0.10%             | 2042-06-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                             | Freedom Mortgage Holdings LLC                                                                                 | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1102500.00    | 0.02%             | 2029-02-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                             | Freedom Mortgage Holdings LLC                                                                                 | CUSIP: 35641AAD0<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1129923.30    | 0.02%             | 2033-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FRONERI LUX FINCO SARL                            | Froneri Lux FinCo SARL                                                                                        | CUSIP: 35901MAA5<br>LEI: 9845005YBZ75E5AA3B94 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $201755.40     | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                           | GA Global Funding Trust                                                                                       | CUSIP: 36143L2V6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    3490000 | PA      | $3442639.90    | 0.08%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM2 Trust                                                                                          | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1754166 | PA      | $1487125.72    | 0.03%             | 2066-05-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM6 Trust                                                                                          | CUSIP: 36167KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4369759 | PA      | $4001588.32    | 0.09%             | 2066-08-25      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM1 Trust                                                                                          | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3818245 | PA      | $3271109.94    | 0.07%             | 2066-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM7 Trust                                                                                          | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1530599 | PA      | $1426974.50    | 0.03%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM4 Trust                                                                                          | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3399432 | PA      | $2852311.08    | 0.06%             | 2066-08-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36176HJS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108950 | PA      | $108851.52     | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36176HQ56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99067 | PA      | $93333.36      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36177PPS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54053 | PA      | $50773.34      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36178D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     347665 | PA      | $326245.32     | 0.01%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36178DPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53972 | PA      | $49592.03      | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36178DR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     414703 | PA      | $389539.74     | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36178VD32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260434 | PA      | $244383.66     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36179DNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60353 | PA      | $55338.17      | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1548983 | PA      | $1462913.70    | 0.03%             | 2044-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179Q3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1334716 | PA      | $1290861.76    | 0.03%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179QD24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7783 | PA      | $7780.71       | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     402802 | PA      | $402806.81     | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     347104 | PA      | $346287.42     | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1016345 | PA      | $979177.05     | 0.02%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30164 | PA      | $27556.35      | 0.00%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281170 | PA      | $280392.97     | 0.01%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1605333 | PA      | $1499585.91    | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1622746 | PA      | $1513479.76    | 0.03%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3577267 | PA      | $3438989.17    | 0.08%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225592 | PA      | $210214.76     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1778046 | PA      | $1663436.58    | 0.04%             | 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        |      62951 | PA      | $58452.44      | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77551 | PA      | $72264.65      | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     368474 | PA      | $344499.37     | 0.01%             | 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        |       3786 | PA      | $3643.15       | 0.00%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     330555 | PA      | $308022.91     | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179U6T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2854629 | PA      | $2488471.96    | 0.06%             | 2049-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179U6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5582182 | PA      | $5157617.61    | 0.11%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179UUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2289051 | PA      | $2115790.98    | 0.05%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1275094 | PA      | $1178447.66    | 0.03%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     933839 | PA      | $920733.37     | 0.02%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179UZV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1546820 | PA      | $1531056.87    | 0.03%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139266 | PA      | $115876.91     | 0.00%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179V7G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5569197 | PA      | $5146015.62    | 0.11%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     600148 | PA      | $552274.93     | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     362224 | PA      | $334665.94     | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     376171 | PA      | $346755.21     | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3710254 | PA      | $3087139.80    | 0.07%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4378955 | PA      | $3645644.13    | 0.08%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4482409 | PA      | $3729615.79    | 0.08%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179W7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     798178 | PA      | $664128.80     | 0.01%             | 2052-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2271233 | PA      | $1967277.04    | 0.04%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15445301 | PA      | $13374901.68   | 0.30%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10592654 | PA      | $9535041.18    | 0.21%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2919821 | PA      | $2626877.37    | 0.06%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3126863 | PA      | $2812782.57    | 0.06%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2722872 | PA      | $2357840.60    | 0.05%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3933939 | PA      | $3538710.98    | 0.08%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9126268 | PA      | $7902781.79    | 0.17%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2682690 | PA      | $2412712.73    | 0.05%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9118893 | PA      | $8199180.11    | 0.18%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13424997 | PA      | $11170351.68   | 0.25%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18390361 | PA      | $15301813.52   | 0.34%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5634533 | PA      | $5381992.10    | 0.12%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1413384 | PA      | $1390029.80    | 0.03%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1276215 | PA      | $1254732.63    | 0.03%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5872731 | PA      | $5772969.67    | 0.13%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2195076 | PA      | $1976806.65    | 0.04%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3617A35B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10596 | PA      | $9578.48       | 0.00%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617BVST5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295411 | PA      | $280515.65     | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3617FJBZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147165 | PA      | $146899.02     | 0.00%             | 2052-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617G1SM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267142 | PA      | $253899.52     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617GCKE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95233 | PA      | $91690.59      | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617GGRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     272661 | PA      | $259313.98     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3617GGRM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217108 | PA      | $206345.38     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3617YRUD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4552763 | PA      | $4544536.25    | 0.10%             | 2052-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36180DUQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     341747 | PA      | $320905.04     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36180DUR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35868 | PA      | $33680.93      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36180KJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     479063 | PA      | $449538.67     | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36180NXE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172212 | PA      | $161601.43     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36183HRE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25311 | PA      | $22881.08      | 0.00%             | 2044-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36183RD91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105368 | PA      | $95252.01      | 0.00%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36184BNJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41562 | PA      | $37570.40      | 0.00%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36184HK37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25018 | PA      | $22616.20      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36186NLA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26855 | PA      | $24111.09      | 0.00%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36186NLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     527984 | PA      | $477276.84     | 0.01%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11349276 | PA      | $11082667.23   | 0.25%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618N5C49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11130887 | PA      | $10869410.10   | 0.24%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2389348 | PA      | $2432831.25    | 0.05%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10186276 | PA      | $10384123.91   | 0.23%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2011-GC5                                                                         | CUSIP: 36191YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170048 | PA      | $118.56        | 0.00%             | 2044-08-10      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2012-BWTR                                                                   | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    1917668 | PA      | $1661564.35    | 0.04%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2013-GC13                                                                        | CUSIP: 36198EAG0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |     375680 | PA      | $3.76          | 0.00%             | 2046-07-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36200JMK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100082 | PA      | $104410.21     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36200WCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11872 | PA      | $12261.80      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36201ASX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        540 | PA      | $553.44        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36201C6H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2223 | PA      | $2314.62       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36201EJZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37514 | PA      | $38757.98      | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36201TJ40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47684 | PA      | $49167.49      | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36202D5Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39002 | PA      | $39358.96      | 0.00%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1289927 | PA      | $1325204.77    | 0.03%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1027039 | PA      | $1058253.85    | 0.02%             | 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        |     403246 | PA      | $414511.65     | 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        |     556126 | PA      | $541300.45     | 0.01%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14943 | PA      | $15068.72      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36202SVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8449 | PA      | $8472.54       | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36202X4X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3230 | PA      | $3245.55       | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36209KKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2579 | PA      | $2648.04       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36209V4E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1747 | PA      | $1797.39       | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3620A5SN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4788 | PA      | $4949.46       | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3620A85P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60011 | PA      | $61819.14      | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3620AXZS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22178 | PA      | $22167.31      | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3620C0YM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9280 | PA      | $9545.48       | 0.00%             | 2040-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36210FC38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        171 | PA      | $175.37        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36212D4K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1626 | PA      | $1668.94       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36213FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11858 | PA      | $12152.24      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36213SYK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1498 | PA      | $1578.53       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36213UB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7567 | PA      | $7783.02       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36213UME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2271 | PA      | $2391.24       | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36225BEK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5979 | PA      | $6129.53       | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3622A2LL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233265 | PA      | $238820.14     | 0.01%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3622A2LM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339085 | PA      | $347342.79     | 0.01%             | 2044-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 3622AAN26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     968499 | PA      | $933683.78     | 0.02%             | 2042-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36230L3K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96684 | PA      | $93466.01      | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                            | CUSIP: 36230QJZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249507 | PA      | $241471.43     | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC20                                                                        | CUSIP: 36252WAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1186932 | PA      | $932951.90     | 0.02%             | 2047-04-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2019-GC40                                                                        | CUSIP: 36257HBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2905173 | PA      | $2856910.22    | 0.06%             | 2052-07-10      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                                                | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    5475000 | PA      | $5674057.81    | 0.13%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                                                | CUSIP: 36269JAE8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    4285000 | PA      | $4294178.47    | 0.09%             | 2041-03-10      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2024-4                                                                      | CUSIP: 36270YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3220000 | PA      | $3236392.05    | 0.07%             | 2029-04-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2025-1                                                                      | CUSIP: 36271KAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5720000 | PA      | $5766736.40    | 0.13%             | 2029-07-16      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36290V4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11120 | PA      | $11215.17      | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36291YGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1138 | PA      | $1196.05       | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                             | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16872 | PA      | $17339.57      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                                              | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    3062653 | PA      | $2615037.39    | 0.06%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                                                                   | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    3991000 | PA      | $3958181.85    | 0.09%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                              | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     410000 | PA      | $363393.38     | 0.01%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                              | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     465000 | PA      | $471401.25     | 0.01%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                              | CUSIP: 373334KW0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     390000 | PA      | $402560.02     | 0.01%             | 2034-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                              | CUSIP: 373334KY6<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    2425000 | PA      | $2467204.80    | 0.05%             | 2030-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                              | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    6405000 | PA      | $6572897.08    | 0.15%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                              | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    3005000 | PA      | $3096573.23    | 0.07%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                             | Gildan Activewear Inc                                                                                         | CUSIP: 375916AG8<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |    5355000 | PA      | $5333380.26    | 0.12%             | 2035-10-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                          | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    3265000 | PA      | $3521429.90    | 0.08%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                          | CUSIP: 378272BQ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    1425000 | PA      | $1573983.39    | 0.03%             | 2033-10-06      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                          | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    2685000 | PA      | $2768453.42    | 0.06%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                          | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1178385.65    | 0.03%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4315000 | PA      | $4415391.67    | 0.10%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3515000 | PA      | $3559382.18    | 0.08%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     915000 | PA      | $921204.90     | 0.02%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     440000 | PA      | $454038.29     | 0.01%             | 2031-01-28      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1365000 | PA      | $1408674.59    | 0.03%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1134405.79    | 0.03%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     830000 | PA      | $834276.18     | 0.02%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                   | Golub Capital Partners CLO 68B Ltd                                                                            | CUSIP: 38181PAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    3095000 | PA      | $3083065.68    | 0.07%             | 2038-07-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38375C5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1779758 | PA      | $372672.42     | 0.01%             | 2042-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38375GLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65349 | PA      | $5355.22       | 0.00%             | 2042-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38375QGF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123455 | PA      | $126403.15     | 0.00%             | 2038-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38376VPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     870296 | PA      | $171397.21     | 0.00%             | 2040-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38377EG73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145373 | PA      | $29684.36      | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378EAS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36812 | PA      | $306.04        | 0.00%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378GRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256005 | PA      | $43199.08      | 0.00%             | 2041-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1249881 | PA      | $174943.47     | 0.00%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378HRW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     458785 | PA      | $404405.82     | 0.01%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378JAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232665 | PA      | $30657.13      | 0.00%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378MSZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43007 | PA      | $222.38        | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378P4B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85462 | PA      | $16552.21      | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378PE79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3331264 | PA      | $3075773.61    | 0.07%             | 2044-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378TRC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     548176 | PA      | $460815.55     | 0.01%             | 2040-04-20      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38378Y2A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4906 | PA      | $18.92         | 0.00%             | 2026-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379AMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     665051 | PA      | $607697.09     | 0.01%             | 2041-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379BCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282931 | PA      | $269911.58     | 0.01%             | 2039-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379FK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     372696 | PA      | $57930.75      | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379LS49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     592854 | PA      | $132230.47     | 0.00%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379QFZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2986 | PA      | $0.81          | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379QGG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8276 | PA      | $40.18         | 0.00%             | 2027-02-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379V5S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     564220 | PA      | $65603.02      | 0.00%             | 2046-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379VGY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     369157 | PA      | $3938.53       | 0.00%             | 2039-07-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379VPS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169000 | PA      | $142805.14     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379VRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232803 | PA      | $6643.03       | 0.00%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379XH52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66050 | PA      | $359.79        | 0.00%             | 2029-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38379YRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     477882 | PA      | $51672.99      | 0.00%             | 2046-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380BAQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51222 | PA      | $439.61        | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380CEN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     472311 | PA      | $34910.92      | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380CF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     504450 | PA      | $67282.12      | 0.00%             | 2047-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380CG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     273475 | PA      | $39767.85      | 0.00%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380CNU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187524 | PA      | $37257.14      | 0.00%             | 2047-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380CP80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     610142 | PA      | $96772.08      | 0.00%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380GZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140263 | PA      | $30345.27      | 0.00%             | 2047-09-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380TE93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     698476 | PA      | $112668.79     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380VEM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234990 | PA      | $220162.98     | 0.00%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380WH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1859777 | PA      | $349452.56     | 0.01%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38380XBA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149101 | PA      | $17182.46      | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381RLB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1086285 | PA      | $150301.04     | 0.00%             | 2046-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38381TR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1275578 | PA      | $191778.31     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382CT84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     900891 | PA      | $99034.02      | 0.00%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382E5F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1741133 | PA      | $78884.83      | 0.00%             | 2035-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382QM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     489355 | PA      | $389473.62     | 0.01%             | 2051-05-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382VFC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5284131 | PA      | $692796.02     | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38382WYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1947290 | PA      | $1678520.76    | 0.04%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383DY69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3753998 | PA      | $3372462.01    | 0.07%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383F2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1974673 | PA      | $1834378.62    | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38383RAP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     781951 | PA      | $755557.56     | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                      | CUSIP: 38384U2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4666720 | PA      | $945099.98     | 0.02%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GREAT CAN GAMING/RAPTOR                           | Great Canadian Gaming Corp/Raptor LLC                                                                         | CUSIP: 389925AA6<br>LEI: 549300FU60SSFLTE0M84 | Long             | DBT              | CORP              | XX        |     390000 | PA      | $381303.86     | 0.01%             | 2029-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-2                                                                 | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     575000 | PA      | $582174.33     | 0.01%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-2                                                                 | CUSIP: 39571VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1790000 | PA      | $1802558.10    | 0.04%             | 2060-06-25      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1460000 | PA      | $1360812.93    | 0.03%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     995000 | PA      | $1026164.29    | 0.02%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2240000 | PA      | $2292051.80    | 0.05%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    5255000 | PA      | $5407147.17    | 0.12%             | 2031-05-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1980000 | PA      | $1982189.56    | 0.04%             | 2031-11-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                     | HTL Commercial Mortgage Trust 2024-T53                                                                        | CUSIP: 404300AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1990000 | PA      | $2021038.23    | 0.04%             | 2039-05-10      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                     | HTL Commercial Mortgage Trust 2024-T53                                                                        | CUSIP: 404300AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1095000 | PA      | $1114376.03    | 0.02%             | 2039-05-10      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                          | HPS Corporate Lending Fund                                                                                    | CUSIP: 40440VAN5<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    2530000 | PA      | $2554693.23    | 0.06%             | 2030-06-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                         | HIH Trust 2024-61P                                                                                            | CUSIP: 40444VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1586259 | PA      | $1591711.35    | 0.04%             | 2041-10-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                       | Hertz Vehicle Financing III LLC 2025-2                                                                        | CUSIP: 42806MCX5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    2885000 | PA      | $2905306.07    | 0.06%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                          | Hess Midstream Operations LP                                                                                  | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6273000 | PA      | $6109794.10    | 0.14%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                          | Hess Midstream Operations LP                                                                                  | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2680000 | PA      | $2777024.04    | 0.06%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                  | Hewlett Packard Enterprise Co                                                                                 | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     920000 | PA      | $910295.10     | 0.02%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                  | Hewlett Packard Enterprise Co                                                                                 | CUSIP: 42824CBW8<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    4240000 | PA      | $4007621.29    | 0.09%             | 2054-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                                                       | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     260227 | PA      | $259618.47     | 0.01%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                             | CUSIP: 442851AT8<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1859157.02    | 0.04%             | 2029-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                             | CUSIP: 442851AY7<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    1205000 | PA      | $920668.71     | 0.02%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| HOWDEN UK REFINANCE / US                          | Howden UK Refinance PLC / Howden UK Refinance 2 PLC / Howden US Refinance LLC                                 | CUSIP: 44287DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    1100000 | PA      | $1135318.80    | 0.03%             | 2032-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| HOWDEN UK REFINANCE / US                          | Howden UK Refinance PLC / Howden UK Refinance 2 PLC / Howden US Refinance LLC                                 | CUSIP: 44287GAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    1100000 | PA      | $1133752.40    | 0.03%             | 2031-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                          | Hudson Pacific Properties LP                                                                                  | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    1201000 | PA      | $1105719.36    | 0.02%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| HUDSON PACIFIC PROPERTIE                          | Hudson Pacific Properties LP                                                                                  | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    1200000 | PA      | $1173105.66    | 0.03%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                    | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    3220000 | PA      | $3325801.21    | 0.07%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                    | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    3445000 | PA      | $3522739.25    | 0.08%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                   | IHS Holding Ltd                                                                                               | CUSIP: 44963HAB1<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |    2405000 | PA      | $2402068.02    | 0.05%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust 2025-PLAZA          | INT Commercial Mortgage Trust 2025-PLAZA                                                                      | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2290000 | PA      | $2292473.66    | 0.05%             | 2037-11-05      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust 2025-PLAZA          | INT Commercial Mortgage Trust 2025-PLAZA                                                                      | CUSIP: 44989YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440000 | PA      | $440461.65     | 0.01%             | 2037-11-05      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                 | Imola Merger Corp                                                                                             | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     480000 | PA      | $473138.57     | 0.01%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM2                                                                        | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6093960 | PA      | $5826155.99    | 0.13%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                             | Indonesia Government International Bond                                                                       | CUSIP: 455780ED4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    5085000 | PA      | $5107693.49    | 0.11%             | 2036-04-16      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| INSIGHT ENTERPRS                                  | Insight Enterprises Inc                                                                                       | CUSIP: 45765UAC7<br>LEI: 529900S8991TYW6YP792 | Long             | DBT              | CORP              | US        |    2651000 | PA      | $2713197.76    | 0.06%             | 2032-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140AY6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1306825.47    | 0.03%             | 2047-05-11      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    6330000 | PA      | $4653117.04    | 0.10%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    3036000 | PA      | $2022920.53    | 0.04%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     450000 | PA      | $262886.63     | 0.01%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     505000 | PA      | $427406.26     | 0.01%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $1004528.58    | 0.02%             | 2032-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140CG3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    2085000 | PA      | $2123442.33    | 0.05%             | 2033-02-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| INTL AIRPORT FINANCE SA                           | International Airport Finance SA                                                                              | CUSIP: 45900TAA0<br>LEI: 959800M9M5LP0KXUP789 | Long             | DBT              | CORP              | ES        |    3166885 | PA      | $3378930.21    | 0.07%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| IBM CORP                                          | International Business Machines Corp                                                                          | CUSIP: 459200LG4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    3460000 | PA      | $3541938.99    | 0.08%             | 2030-02-10      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                          | Interstate Power and Light Co                                                                                 | CUSIP: 461070AX2<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $3493801.53    | 0.08%             | 2035-06-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                                                          | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    2910000 | PA      | $2709310.54    | 0.06%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                                                          | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    3430000 | PA      | $3554140.58    | 0.08%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                                                    | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1040000 | PA      | $1083402.32    | 0.02%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                                              | CUSIP: 46593JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     645000 | PA      | $650690.45     | 0.01%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| JH NORTH AMERICA HOLDING                          | JH North America Holdings Inc                                                                                 | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |    2175000 | PA      | $2230669.13    | 0.05%             | 2032-07-31      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9                                                 | CUSIP: 46639EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730000 | PA      | $594957.30     | 0.01%             | 2047-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C23                                                           | CUSIP: 46643ABG7<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |     590796 | PA      | $5.91          | 0.00%             | 2047-09-15      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2865000 | PA      | $2856486.48    | 0.06%             | 2029-04-23      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     835000 | PA      | $821056.48     | 0.02%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2065000 | PA      | $1856213.24    | 0.04%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     960000 | PA      | $972206.11     | 0.02%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2545000 | PA      | $2620235.85    | 0.06%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1833792.79    | 0.04%             | 2029-10-23      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2755000 | PA      | $2860204.58    | 0.06%             | 2035-01-23      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2940000 | PA      | $3068105.30    | 0.07%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2965000 | PA      | $3041955.63    | 0.07%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2715000 | PA      | $2735997.08    | 0.06%             | 2028-10-22      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2405000 | PA      | $2431916.25    | 0.05%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1208885.36    | 0.03%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4135000 | PA      | $4270926.84    | 0.09%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4050000 | PA      | $4199303.25    | 0.09%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PFD3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4910000 | PA      | $4892867.00    | 0.11%             | 2031-10-22      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JPMCC Commercial Mortgage Securities Trust 2017-JP5                                                           | CUSIP: 46647TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8715000 | PA      | $8628775.53    | 0.19%             | 2050-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                                                 | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1770000 | PA      | $1584185.40    | 0.04%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                             | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                                                      | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1135000 | PA      | $1187856.95    | 0.03%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co                                 | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4175000 | PA      | $4230611.00    | 0.09%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co                                 | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7050000 | PA      | $7212291.00    | 0.16%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                                                    | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1395000 | PA      | $1539037.94    | 0.03%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                                                    | CUSIP: 47214BAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1140000 | PA      | $1291486.62    | 0.03%             | 2053-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                                               | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     700000 | PA      | $709914.34     | 0.02%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                           | JetBlue Airways Corp / JetBlue Loyalty LP                                                                     | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1150000 | PA      | $1130328.73    | 0.02%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                              | Kaiser Aluminum Corp                                                                                          | CUSIP: 483007AL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1111609.82    | 0.02%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                              | Kaiser Aluminum Corp                                                                                          | CUSIP: 483007AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1245430.14    | 0.03%             | 2034-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                        | Kenvue Inc                                                                                                    | CUSIP: 49177JAS1<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    1860000 | PA      | $1884379.71    | 0.04%             | 2032-05-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                                                          | CUSIP: 49271VAN0<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    2679000 | PA      | $2377001.50    | 0.05%             | 2031-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                                                          | CUSIP: 49271VAP5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1508127.81    | 0.03%             | 2029-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                                                          | CUSIP: 49271VAQ3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    2155000 | PA      | $2068620.34    | 0.05%             | 2032-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                                                          | CUSIP: 49271VAR1<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    3290000 | PA      | $2687344.28    | 0.06%             | 2052-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                                                          | CUSIP: 49271VAU4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $1065961.34    | 0.02%             | 2031-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                                                          | CUSIP: 49271VAV2<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1255000 | PA      | $1276019.86    | 0.03%             | 2034-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EAST CORP                             | KeySpan Gas East Corp                                                                                         | CUSIP: 49338CAD5<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |     385000 | PA      | $407522.46     | 0.01%             | 2033-03-06      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                          | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1865000 | PA      | $1907022.29    | 0.04%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                          | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    2975000 | PA      | $3110227.85    | 0.07%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS3                                                                          | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1794099 | PA      | $1810532.50    | 0.04%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS4                                                                          | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     888958 | PA      | $885663.19     | 0.02%             | 2060-11-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS2                                                                          | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1279084 | PA      | $1275538.57    | 0.03%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                             | Level 3 Financing Inc                                                                                         | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1130143.30    | 0.02%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LINCOLN FIN GLBL FUNDING                          | Lincoln Financial Global Funding                                                                              | CUSIP: 53359KAB7<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    2705000 | PA      | $2729443.62    | 0.06%             | 2028-05-28      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2020-NQM3 Trust                                                                                           | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144093 | PA      | $137007.10     | 0.00%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-NQM1 Trust                                                                                           | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     746529 | PA      | $707361.83     | 0.02%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-NQM2 Trust                                                                                           | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1237813 | PA      | $1097133.27    | 0.02%             | 2064-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL8 Ltd                                                                                              | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4415000 | PA      | $4405189.87    | 0.10%             | 2037-02-19      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2022-INV3 Trust                                                                                           | CUSIP: 55284PAC9<br>LEI: 529900363K6AIIYHH845 | Long             | ABS-MBS          | CORP              | US        |    2464821 | PA      | $2436946.64    | 0.05%             | 2066-12-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                       | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    4785000 | PA      | $4876751.42    | 0.11%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                       | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    3050000 | PA      | $3075773.75    | 0.07%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                       | CUSIP: 55336VCB4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    4495000 | PA      | $4495678.79    | 0.10%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                       | CUSIP: 55336VCC2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1540000 | PA      | $1546362.36    | 0.03%             | 2035-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                          | MSCI Inc                                                                                                      | CUSIP: 55354GAM2<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    2876000 | PA      | $2700418.93    | 0.06%             | 2031-11-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-2                                                                         | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4611172 | PA      | $261112.25     | 0.01%             | 2056-12-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                              | MAD Commercial Mortgage Trust 2025-11MD                                                                       | CUSIP: 55616AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6145000 | PA      | $6149858.24    | 0.14%             | 2042-10-15      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                      | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1446838.49    | 0.03%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                      | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    7215000 | PA      | $7414309.61    | 0.16%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                      | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    3160000 | PA      | $3243399.83    | 0.07%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                      | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    9885000 | PA      | $10074689.39   | 0.22%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                      | CUSIP: 571676BD6<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1151946.03    | 0.03%             | 2065-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                                                        | CUSIP: 573874AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1439698.70    | 0.03%             | 2028-04-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                                                        | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2695000 | PA      | $2493435.21    | 0.06%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO                              | Matador Resources Co                                                                                          | CUSIP: 576485AG1<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    2175000 | PA      | $2195042.63    | 0.05%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                            | Mauser Packaging Solutions Holding Co                                                                         | CUSIP: 57763RAC1<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1135521.85    | 0.03%             | 2027-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                       | McAfee Corp                                                                                                   | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $1693564.93    | 0.04%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST                                                                                  | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     368006 | PA      | $354865.19     | 0.01%             | 2055-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                                                           | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1046073 | PA      | $1021816.59    | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                                                 | CUSIP: 59261A2P1<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     460000 | PA      | $430472.23     | 0.01%             | 2049-11-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                                                 | CUSIP: 59261AG43<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    2530000 | PA      | $2572601.91    | 0.06%             | 2050-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                             | Micron Technology Inc                                                                                         | CUSIP: 595112CG6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    3335000 | PA      | $3500758.97    | 0.08%             | 2032-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2018-1                                                                          | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25794 | PA      | $25620.61      | 0.00%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                              | Monongahela Power Co                                                                                          | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     524000 | PA      | $556996.59     | 0.01%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2017-H1                                                                        | CUSIP: 61691JAW4<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    2074294 | PA      | $28876.46      | 0.00%             | 2050-06-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2714645.40    | 0.06%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2361371.81    | 0.05%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1065000 | PA      | $931984.62     | 0.02%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2006-TOP21                                                                     | CUSIP: 617451CX5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |      43704 | PA      | $13044.88      | 0.00%             | 2052-10-12      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     755000 | PA      | $779061.53     | 0.02%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     295000 | PA      | $312749.78     | 0.01%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3935000 | PA      | $4104841.41    | 0.09%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1244639.34    | 0.03%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $1042710.53    | 0.02%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2011-C3                                                                        | CUSIP: 61760RAS1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     885000 | PA      | $833347.86     | 0.02%             | 2049-07-15      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2014-150E                                                                      | CUSIP: 61764BAA1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    5280000 | PA      | $4752598.22    | 0.11%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust    | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1                                                      | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9068180 | PA      | $8868146.12    | 0.20%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                               | NCL Corp Ltd                                                                                                  | CUSIP: 62886HBP5<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    1100000 | PA      | $1117427.30    | 0.02%             | 2030-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                  | NMEF Funding 2025-B LLC                                                                                       | CUSIP: 62919WAB5<br>LEI: 549300LKWL3P0UPHKL72 | Long             | ABS-O            | CORP              | US        |     946000 | PA      | $948051.78     | 0.02%             | 2033-01-18      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                  | NMEF Funding 2025-B LLC                                                                                       | CUSIP: 62919WAC3<br>LEI: 549300LKWL3P0UPHKL72 | Long             | ABS-O            | CORP              | US        |    3505000 | PA      | $3518682.12    | 0.08%             | 2033-01-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                        | NMLT 2021-INV1 Trust                                                                                          | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3596333 | PA      | $3108123.43    | 0.07%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                                                        | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      40000 | PA      | $39397.51      | 0.00%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                                              | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    3395000 | PA      | $3459236.49    | 0.08%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                                              | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   12350000 | PA      | $12690142.09   | 0.28%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities            | Natixis Commercial Mortgage Securities Trust 2018-SOX                                                         | CUSIP: 63874NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1187000 | PA      | $1170221.04    | 0.03%             | 2038-06-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities            | Natixis Commercial Mortgage Securities Trust 2018-SOX                                                         | CUSIP: 63874NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1751302.26    | 0.04%             | 2038-06-17      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2023-A                                                              | CUSIP: 638961AA0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    2944401 | PA      | $3021322.65    | 0.07%             | 2071-10-15      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2021-F                                                              | CUSIP: 63942GAA1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    2354129 | PA      | $2093579.84    | 0.05%             | 2070-02-18      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2014-1                                                                    | CUSIP: 64828AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322878 | PA      | $314504.17     | 0.01%             | 2054-01-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-NQM1R                                                                | CUSIP: 64828BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     997299 | PA      | $908462.84     | 0.02%             | 2055-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-NQM4                                                                 | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202314 | PA      | $194452.53     | 0.00%             | 2059-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-4                                                                    | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     917166 | PA      | $901055.88     | 0.02%             | 2048-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-5                                                                    | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     719901 | PA      | $728856.36     | 0.02%             | 2057-06-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2014-2                                                                    | CUSIP: 64828YAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16228 | PA      | $15572.55      | 0.00%             | 2054-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2016-2                                                                    | CUSIP: 64829GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     719717 | PA      | $699668.83     | 0.02%             | 2035-11-26      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-2                                                                    | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1517637 | PA      | $1475914.43    | 0.03%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2016-4                                                                    | CUSIP: 64829LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     833391 | PA      | $802129.02     | 0.02%             | 2056-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-4                                                                    | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     872456 | PA      | $841784.02     | 0.02%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-RPL1                                                                 | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     969226 | PA      | $941933.65     | 0.02%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-6                                                                    | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1257093 | PA      | $1225457.85    | 0.03%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-3                                                                    | CUSIP: 64830EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1790634 | PA      | $1732718.57    | 0.04%             | 2058-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-1                                                                    | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180467 | PA      | $176606.54     | 0.00%             | 2057-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-5                                                                    | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     831847 | PA      | $793251.26     | 0.02%             | 2059-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-NQM2R                                                                | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538003 | PA      | $529723.48     | 0.01%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| New York Transportation Development Corp          | NEW YORK TRANSPRTN DEV CORP LEASE REVENUE                                                                     | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3840000 | PA      | $3787203.84    | 0.08%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                            | XPLR Infrastructure Operating Partners LP                                                                     | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |    2175000 | PA      | $2237350.73    | 0.05%             | 2029-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| NISOURCE INC                                      | NiSource Inc                                                                                                  | CUSIP: 65473PAP0<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1461462.35    | 0.03%             | 2033-06-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                                                  | CUSIP: 65473PAX3<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    4130000 | PA      | $4213174.52    | 0.09%             | 2035-07-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| NISOURCE INC                                      | NiSource Inc                                                                                                  | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     345000 | PA      | $341930.72     | 0.01%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                  | NJ 2025-WBRK                                                                                                  | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3025000 | PA      | $3146595.93    | 0.07%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                  | NJ 2025-WBRK                                                                                                  | CUSIP: 65486BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6020000 | PA      | $6188779.13    | 0.14%             | 2035-03-05      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| NORTHRIVER MIDSTREAM FIN                          | Northriver Midstream Finance LP                                                                               | CUSIP: 66679NAB6<br>LEI: 549300SOLNLY3BL6GF18 | Long             | DBT              | CORP              | CA        |    2200000 | PA      | $2241940.80    | 0.05%             | 2032-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                          | NRTH Commercial Mortgage Trust 2025-PARK                                                                      | CUSIP: 669985AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     735000 | PA      | $735459.38     | 0.02%             | 2040-10-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                 | NSTAR Electric Co                                                                                             | CUSIP: 67021CAV9<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    1390000 | PA      | $1445035.33    | 0.03%             | 2034-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                 | NSTAR Electric Co                                                                                             | CUSIP: 67021CAW7<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    1195000 | PA      | $1222350.93    | 0.03%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2018-1 Trust                                                                                              | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114661 | PA      | $112401.21     | 0.00%             | 2057-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM1 Trust                                                                                           | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2425226 | PA      | $2128248.00    | 0.05%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM3 Trust                                                                                           | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2752588 | PA      | $2270909.38    | 0.05%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2022-NQM1 Trust                                                                                           | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7436857 | PA      | $6734004.43    | 0.15%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM4 Trust                                                                                           | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1895425 | PA      | $1637375.44    | 0.04%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2022-NQM6 Trust                                                                                           | CUSIP: 67116VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2839697 | PA      | $2833971.13    | 0.06%             | 2062-07-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                     | NYC Commercial Mortgage Trust 2025-3BP                                                                        | CUSIP: 67120UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7720000 | PA      | $7705525.00    | 0.17%             | 2042-02-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                    | Ohio Edison Co                                                                                                | CUSIP: 677347CH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     680000 | PA      | $709763.02     | 0.02%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                          | Olympus Water US Holding Corp                                                                                 | CUSIP: 681639AB6<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |    1435000 | PA      | $1398756.06    | 0.03%             | 2029-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                           | Oncor Electric Delivery Co LLC                                                                                | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    2115000 | PA      | $2194118.98    | 0.05%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     135000 | PA      | $149604.23     | 0.00%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1283820.82    | 0.03%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1510000 | PA      | $1599963.41    | 0.04%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     330000 | PA      | $347261.69     | 0.01%             | 2053-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    3335000 | PA      | $3335175.29    | 0.07%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4470000 | PA      | $4406327.31    | 0.10%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680DC4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3512897.12    | 0.08%             | 2035-10-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                                                | CUSIP: 683715AC0<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     440000 | PA      | $427666.27     | 0.01%             | 2028-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                                                | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    4655000 | PA      | $4405341.18    | 0.10%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                   | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      40000 | PA      | $29978.74      | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                   | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3365000 | PA      | $2224253.79    | 0.05%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                   | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1315000 | PA      | $937523.99     | 0.02%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                   | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     397000 | PA      | $273534.11     | 0.01%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                   | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1321733.61    | 0.03%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                   | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     925000 | PA      | $806531.70     | 0.02%             | 2064-09-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                   | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    8995000 | PA      | $8902391.26    | 0.20%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C                          | Outfront Media Capital LLC / Outfront Media Capital Corp                                                      | CUSIP: 69007TAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2075000 | PA      | $2191956.96    | 0.05%             | 2031-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pret 2024-NPL6 LLC                                                                                            | CUSIP: 69381QAA4<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |    4598661 | PA      | $4593905.52    | 0.10%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-2 LLC                                                                                               | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10389946 | PA      | $10386049.76   | 0.23%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-7 LLC                                                                                               | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4121764 | PA      | $4123679.71    | 0.09%             | 2030-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pret 2025-NPL11 LLC                                                                                           | CUSIP: 69383AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13344561 | PA      | $13340028.00   | 0.29%             | 2055-10-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-NPL8 LLC                                                                                            | CUSIP: 69392EAA8<br>LEI: 254900EZKI569P0YE486 | Long             | ABS-O            | CORP              | US        |    6360856 | PA      | $6371884.16    | 0.14%             | 2055-08-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-RPL1 Trust                                                                                          | CUSIP: 69392FAA5<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |    8740906 | PA      | $8549986.81    | 0.19%             | 2069-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-5 LLC                                                                                               | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2342561 | PA      | $2341502.01    | 0.05%             | 2030-07-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-RPL5 Trust                                                                                          | CUSIP: 69393AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9415000 | PA      | $9161390.97    | 0.20%             | 2070-01-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-6 LLC                                                                                               | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5735183 | PA      | $5733520.10    | 0.13%             | 2028-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     860000 | PA      | $734223.59     | 0.02%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4640000 | PA      | $4153054.60    | 0.09%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1067000 | PA      | $810278.99     | 0.02%             | 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        |     585000 | PA      | $399754.28     | 0.01%             | 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        |    2530000 | PA      | $2513929.77    | 0.06%             | 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        |     522000 | PA      | $449307.48     | 0.01%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1046423.02    | 0.02%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4541000 | PA      | $4904819.24    | 0.11%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2129000 | PA      | $2259737.78    | 0.05%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     950000 | PA      | $1018005.85    | 0.02%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4905000 | PA      | $5116685.97    | 0.11%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3216000 | PA      | $3568926.86    | 0.08%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5555000 | PA      | $5756983.80    | 0.13%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3396000 | PA      | $3306134.40    | 0.07%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     634000 | PA      | $638295.91     | 0.01%             | 2055-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1995000 | PA      | $1998503.32    | 0.04%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds             | Panama Government International Bonds                                                                         | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     900000 | PA      | $738090.00     | 0.02%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                            | Penn Entertainment Inc                                                                                        | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1164089.00    | 0.03%             | 2029-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: —       |
| Philadelphia Authority for Industrial Development | PHILADELPHIA PA AUTH FOR INDL DEV PENSION FUNDING                                                             | CUSIP: 71781LBH1<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |    5345000 | PA      | $5686629.95    | 0.13%             | 2028-10-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                               | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2930000 | PA      | $3024620.28    | 0.07%             | 2030-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                               | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1145573.53    | 0.03%             | 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        |    1490000 | PA      | $1576233.93    | 0.03%             | 2033-09-07      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                               | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    4320000 | PA      | $4464983.82    | 0.10%             | 2031-02-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                               | CUSIP: 718172DM8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2755000 | PA      | $2774051.51    | 0.06%             | 2027-11-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                               | CUSIP: 718172DP1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1933160.78    | 0.04%             | 2031-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                              | Pilgrim's Pride Corp                                                                                          | CUSIP: 72147KAJ7<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    2345000 | PA      | $2269702.99    | 0.05%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                             | Pinnacle West Capital Corp                                                                                    | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    2818000 | PA      | $2861314.41    | 0.06%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                             | Pinnacle West Capital Corp                                                                                    | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    2483000 | PA      | $2558707.29    | 0.06%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance                       | Post Road Equipment Finance 2025-1 LLC                                                                        | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1505000 | PA      | $1514005.62    | 0.03%             | 2031-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance                       | Post Road Equipment Finance 2025-1 LLC                                                                        | CUSIP: 73747LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1265000 | PA      | $1282162.26    | 0.03%             | 2031-05-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pret 2025-NPL7 LLC                                                                                            | CUSIP: 740934AA2<br>LEI: 2549001J36X6SUZ41Q96 | Long             | ABS-O            | CORP              | US        |    6980374 | PA      | $6988736.62    | 0.15%             | 2055-07-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-NPL6 LLC                                                                                            | CUSIP: 740936AA7<br>LEI: 2549004EWBYQ3J21FL07 | Long             | ABS-O            | CORP              | US        |   10456014 | PA      | $10497759.53   | 0.23%             | 2055-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-NPL9 LLC                                                                                            | CUSIP: 740937AA5<br>LEI: 254900IWII23Q41Y2V47 | Long             | ABS-O            | CORP              | US        |    8712703 | PA      | $8726285.79    | 0.19%             | 2055-08-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                   | Prestige Auto Receivables Trust 2024-2                                                                        | CUSIP: 74113SAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1935000 | PA      | $1935113.78    | 0.04%             | 2029-02-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2024-NPL7 LLC                                                                                            | CUSIP: 74136TAA6<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |    1247949 | PA      | $1244663.14    | 0.03%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR3 Trust                                                                          | CUSIP: 74331UAA6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    1691776 | PA      | $1661335.82    | 0.04%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR4 Trust                                                                          | CUSIP: 74332XAA9<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    4857413 | PA      | $4852874.81    | 0.11%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR5 Trust                                                                          | CUSIP: 74332YAA7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    1359721 | PA      | $1356981.89    | 0.03%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR7 Trust                                                                          | CUSIP: 74333CAA4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    2264013 | PA      | $2271238.12    | 0.05%             | 2039-10-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR8 Trust                                                                          | CUSIP: 74333TAA7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    5279686 | PA      | $5173201.52    | 0.11%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2023-SFR1 Trust                                                                          | CUSIP: 74334FAA6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    3004735 | PA      | $2988569.12    | 0.07%             | 2040-03-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2025-SFR1 Trust                                                                          | CUSIP: 74334NAA9<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    5958665 | PA      | $5708759.85    | 0.13%             | 2042-02-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US                              | Prologis Targeted US Logistics Fund LP                                                                        | CUSIP: 74350LAD6<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              |  | US        |    1340000 | PA      | $1330337.77    | 0.03%             | 2031-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US                              | Prologis Targeted US Logistics Fund LP                                                                        | CUSIP: 74350LAE4<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              |  | US        |    3890000 | PA      | $3808143.31    | 0.08%             | 2036-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-6 LLC                                                                                               | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1142272 | PA      | $1141921.08    | 0.03%             | 2029-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-7 LLC                                                                                               | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5346872 | PA      | $5335435.42    | 0.12%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-3                                                                                                   | CUSIP: 74449DAA3<br>LEI: 549300164ZV2301BC703 | Long             | ABS-MBS          | CORP              | US        |    1168551 | PA      | $1196542.03    | 0.03%             | 2030-05-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                           | Public Service Co of Oklahoma                                                                                 | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    3190000 | PA      | $3228596.70    | 0.07%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                                                           | CUSIP: 744573AX4<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     895000 | PA      | $966033.81     | 0.02%             | 2033-10-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                                                           | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     680000 | PA      | $706194.47     | 0.02%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                                                           | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    4070000 | PA      | $4154176.02    | 0.09%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                                              | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    2112000 | PA      | $2027117.18    | 0.04%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                                              | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    8745000 | PA      | $8994538.14    | 0.20%             | 2035-03-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                         | Qorvo Inc                                                                                                     | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    4035000 | PA      | $3720700.53    | 0.08%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                      | QUALCOMM Inc                                                                                                  | CUSIP: 747525BV4<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    3160000 | PA      | $3225939.02    | 0.07%             | 2032-05-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                  | RCO VIII Mortgage LLC 2025-3                                                                                  | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     571192 | PA      | $570943.61     | 0.01%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| RFNA LP                                           | Rfna LP                                                                                                       | CUSIP: 74984AAA0<br>LEI: 2549002A4GSOTYKKHR45 | Long             | DBT              | CORP              | US        |     705000 | PA      | $702014.47     | 0.02%             | 2030-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| RFR Trust                                         | RFR Trust 2025-SGRM                                                                                           | CUSIP: 74984NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6755000 | PA      | $6912421.90    | 0.15%             | 2041-03-11      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 26 Ltd                                                                                                     | CUSIP: 74989MAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3660000 | PA      | $3659923.14    | 0.08%             | 2038-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 23 Ltd                                                                                                     | CUSIP: 75000GBK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    7555000 | PA      | $7576078.45    | 0.17%             | 2037-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                   | Residential Mortgage Loan Trust 2021-1R                                                                       | CUSIP: 76090NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393260 | PA      | $379921.27     | 0.01%             | 2065-01-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC         | Retained Vantage Data Centers Issuer LLC                                                                      | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |    6185000 | PA      | $6187405.97    | 0.14%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                             | RIO TINTO FIN USA PLC                                                                                         | CUSIP: 76720AAT3<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    1015000 | PA      | $1046628.45    | 0.02%             | 2032-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                             | RIO TINTO FIN USA PLC                                                                                         | CUSIP: 76720AAW6<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    2025000 | PA      | $2119344.51    | 0.05%             | 2065-03-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| County of Riverside CA                            | RIVERSIDE CNTY CA PENSN OBLG                                                                                  | CUSIP: 76913CBC2<br>LEI: 254900CB5HEOBAVTY629 | Long             | DBT              | MUN               | US        |    5895000 | PA      | $5765910.11    | 0.13%             | 2028-02-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| ROCKET SOFTWARE INC                               | Rocket Software Inc                                                                                           | CUSIP: 77314EAA6<br>LEI: 549300PVG26ISP5X1556 | Long             | DBT              | CORP              | US        |     554000 | PA      | $538199.09     | 0.01%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | ROCKIES EXPRESS PIPELINE                                                                                      | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    1075000 | PA      | $1125140.15    | 0.02%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                        | CUSIP: 77586RAU4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2550000 | PA      | $2619800.54    | 0.06%             | 2034-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                        | CUSIP: 77586RAV2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    4084000 | PA      | $3994587.97    | 0.09%             | 2035-03-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                        | CUSIP: 77586RAW0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1106000 | PA      | $1212056.24    | 0.03%             | 2037-02-10      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | Royal Bank of Canada                                                                                          | CUSIP: 78017DAC2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    3430000 | PA      | $3531994.72    | 0.08%             | 2031-02-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                | Royalty Pharma PLC                                                                                            | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    8975000 | PA      | $8991458.80    | 0.20%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust           | SG Commercial Mortgage Securities Trust 2020-COVE                                                             | CUSIP: 78397FAA1<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |    5770000 | PA      | $5424805.13    | 0.12%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust         | SFS Auto Receivables Securitization Trust 2023-1                                                              | CUSIP: 78398AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1665000 | PA      | $1705180.95    | 0.04%             | 2030-01-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                         | SHR Trust 2024-LXRY                                                                                           | CUSIP: 784234AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11910000 | PA      | $11917443.75   | 0.26%             | 2041-10-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2021-2                                                                          | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10774405 | PA      | $9358839.82    | 0.21%             | 2061-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2022-1                                                                          | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2284690 | PA      | $2153024.95    | 0.05%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Trust 2016-1 LLC                                                                                | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3355000 | PA      | $3430002.70    | 0.08%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                      | SM Energy Co                                                                                                  | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1237410.01    | 0.03%             | 2029-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Sabey Data Center Issuer LLC                      | Sabey Data Center Issuer LLC                                                                                  | CUSIP: 78520EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     970000 | PA      | $984922.29     | 0.02%             | 2049-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                   | San Diego Gas & Electric Co                                                                                   | CUSIP: 797440CG7<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    2985000 | PA      | $3091248.45    | 0.07%             | 2035-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes           | Santander Bank Auto Credit-Linked Notes Series 2024-B                                                         | CUSIP: 80280BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2150165 | PA      | $2159779.77    | 0.05%             | 2033-01-18      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Limited               | SAPPHIRE AVIATION FINANCE II LTD                                                                              | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     309001 | PA      | $304385.00     | 0.01%             | 2040-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                             | Scripps Escrow II Inc                                                                                         | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2525000 | PA      | $2283045.38    | 0.05%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| SERVICE CORP INTL                                 | Service Corp International/US                                                                                 | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    1829000 | PA      | $1699614.89    | 0.04%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                               | Sherwin-Williams Co/The                                                                                       | CUSIP: 824348BW5<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    6290000 | PA      | $6419198.68    | 0.14%             | 2035-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                | Siemens Funding BV                                                                                            | CUSIP: 82622RAC0<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    4370000 | PA      | $4448232.96    | 0.10%             | 2030-05-28      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO XXIX Ltd                                                                                      | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8270000 | PA      | $8274945.41    | 0.18%             | 2034-04-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400ES8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     850000 | PA      | $891430.09     | 0.02%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400FW8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     246000 | PA      | $192419.90     | 0.00%             | 2043-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     770000 | PA      | $661040.50     | 0.01%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1877000 | PA      | $1432050.04    | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2730000 | PA      | $2110410.01    | 0.05%             | 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        |     785000 | PA      | $553668.19     | 0.01%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400HR7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2277000 | PA      | $2095916.52    | 0.05%             | 2052-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4425000 | PA      | $4669011.27    | 0.10%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1682000 | PA      | $1595612.90    | 0.04%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2813000 | PA      | $2738014.17    | 0.06%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     567000 | PA      | $567461.13     | 0.01%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400JG9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1765000 | PA      | $1789222.03    | 0.04%             | 2035-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1409000 | PA      | $1386440.92    | 0.03%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                             | Southern California Gas Co                                                                                    | CUSIP: 842434DA7<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    1105000 | PA      | $1113915.42    | 0.02%             | 2054-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                             | Southern California Gas Co                                                                                    | CUSIP: 842434DD1<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    4185000 | PA      | $4389434.49    | 0.10%             | 2055-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                                               | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     880000 | PA      | $871308.51     | 0.02%             | 2035-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                                                  | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    3850000 | PA      | $3872489.70    | 0.09%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                 | Southern Power Co                                                                                             | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1236720.61    | 0.03%             | 2035-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SPECIALTY BUILDING PRODU                          | Specialty Building Products Holdings LLC / SBP Finance Corp                                                   | CUSIP: 84749AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1609888.00    | 0.04%             | 2029-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                         | Block Inc                                                                                                     | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    2171000 | PA      | $2021392.48    | 0.04%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                   | Stack Infrastructure Issuer LLC                                                                               | CUSIP: 85236KAH5<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |    3545000 | PA      | $3560965.62    | 0.08%             | 2048-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                   | Stack Infrastructure Issuer LLC                                                                               | CUSIP: 85236KAM4<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |    1870000 | PA      | $1897739.58    | 0.04%             | 2049-03-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                       | Staples Inc                                                                                                   | CUSIP: 855030AQ5<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |     425000 | PA      | $411858.46     | 0.01%             | 2029-09-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                   | Star Parent Inc                                                                                               | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2242328.53    | 0.05%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust               | STAR 2021-1 Trust                                                                                             | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1405480 | PA      | $1321661.61    | 0.03%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-2                                                                    | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441274 | PA      | $419176.25     | 0.01%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-6                                                                    | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3638552 | PA      | $3217041.47    | 0.07%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                                                  | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   17412803 | PA      | $17412803.00   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUST                   | Stream Innovations 2025-1 Issuer Trust                                                                        | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2915315 | PA      | $2937555.55    | 0.06%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Summit Issuer, LLC                                | Summit Issuer LLC                                                                                             | CUSIP: 86613XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1895000 | PA      | $1887962.35    | 0.04%             | 2050-12-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                               | Synchrony Financial                                                                                           | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    1815000 | PA      | $1611470.47    | 0.04%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                               | Synchrony Financial                                                                                           | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    3220000 | PA      | $3275465.37    | 0.07%             | 2031-03-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                               | Synchrony Financial                                                                                           | CUSIP: 87165BAY9<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    3920000 | PA      | $4008064.02    | 0.09%             | 2036-07-29      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                 | Sysco Corp                                                                                                    | CUSIP: 871829BU0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    4073000 | PA      | $4198803.93    | 0.09%             | 2030-09-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1940000 | PA      | $1900228.51    | 0.04%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3045000 | PA      | $2895383.07    | 0.06%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3510000 | PA      | $3192359.71    | 0.07%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     630000 | PA      | $640591.31     | 0.01%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ADC6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     555000 | PA      | $586818.65     | 0.01%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     915000 | PA      | $897344.97     | 0.02%             | 2035-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1075000 | PA      | $1105108.99    | 0.02%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                            | Taco Bell Funding LLC                                                                                         | CUSIP: 87342RAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3857625 | PA      | $3849821.41    | 0.09%             | 2048-11-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                            | Taco Bell Funding LLC                                                                                         | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3571388 | PA      | $3139070.33    | 0.07%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                      | Tapestry Inc                                                                                                  | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    1620000 | PA      | $1659387.74    | 0.04%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                      | Tapestry Inc                                                                                                  | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    1148000 | PA      | $1169056.66    | 0.03%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                          | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                           | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2290000 | PA      | $2167979.16    | 0.05%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                          | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     615000 | PA      | $655467.77     | 0.01%             | 2033-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                          | CUSIP: 87612GAF8<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     455000 | PA      | $496672.47     | 0.01%             | 2034-03-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                          | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3829449.45    | 0.08%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                          | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    1110000 | PA      | $1125501.84    | 0.02%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                          | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    2080000 | PA      | $2132970.47    | 0.05%             | 2036-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                             | Tennessee Valley Authority                                                                                    | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     700000 | PA      | $587118.64     | 0.01%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                           | Teva Pharmaceutical Finance Netherlands III BV                                                                | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    1600000 | PA      | $1669780.80    | 0.04%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                   | TEXAS Commercial Mortgage Trust 2025-TWR                                                                      | CUSIP: 88231WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1340000 | PA      | $1334137.50    | 0.03%             | 2042-04-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Texas Debt Capital CLO, Ltd                       | Texas Debt Capital CLO 2023-I Ltd                                                                             | CUSIP: 88238CAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4445000 | PA      | $4465295.87    | 0.10%             | 2038-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                          | Thermo Fisher Scientific Inc                                                                                  | CUSIP: 883556DD1<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    7855000 | PA      | $7851335.41    | 0.17%             | 2032-10-07      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                          | Time Warner Cable Enterprises LLC                                                                             | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1560000 | PA      | $1809115.48    | 0.04%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                             | Time Warner Cable LLC                                                                                         | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     195000 | PA      | $182382.17     | 0.00%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                             | Time Warner Cable LLC                                                                                         | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2482000 | PA      | $1962607.42    | 0.04%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                          | TotalEnergies Capital SA                                                                                      | CUSIP: 89157XAC5<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    2635000 | PA      | $2619809.75    | 0.06%             | 2064-04-05      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                          | TotalEnergies Capital SA                                                                                      | CUSIP: 89157XAF8<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    1755000 | PA      | $1681615.87    | 0.04%             | 2064-09-10      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-2                                                                              | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651752 | PA      | $644899.73     | 0.01%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2021-R1                                                                             | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6702975 | PA      | $5977860.94    | 0.13%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                          | Trans-Allegheny Interstate Line Co                                                                            | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2480000 | PA      | $2546426.82    | 0.06%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNTNL LTD                          | Transocean International Ltd                                                                                  | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |    2137500 | PA      | $2242940.74    | 0.05%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2025-SFR1 Trust                                                                            | CUSIP: 895974AA1<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    4362452 | PA      | $4366513.91    | 0.10%             | 2042-03-17      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2024-SFR4 Trust                                                                            | CUSIP: 895975AA8<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    4438782 | PA      | $4399810.75    | 0.10%             | 2041-11-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2022-SFR2 Trust                                                                            | CUSIP: 89616TAA3<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    5135697 | PA      | $5116243.43    | 0.11%             | 2040-07-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| TRIMAS CORP                                       | TriMas Corp                                                                                                   | CUSIP: 896215AH3<br>LEI: 75G1WUQ8QK4P5MZOYD78 | Long             | DBT              | CORP              | US        |     345000 | PA      | $333593.40     | 0.01%             | 2029-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                        | Tronox Inc                                                                                                    | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $799211.70     | 0.02%             | 2029-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| 1211 Avenue of the Americas Trust                 | 1211 Avenue of the Americas Trust 2015-1211                                                                   | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3215000 | PA      | $3090418.75    | 0.07%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                    | 280 Park Avenue 2017-280P Mortgage Trust                                                                      | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     930000 | PA      | $920700.00     | 0.02%             | 2034-09-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                    | 280 Park Avenue 2017-280P Mortgage Trust                                                                      | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3362000 | PA      | $3277950.00    | 0.07%             | 2034-09-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C2                                                                         | CUSIP: 90276CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3631530 | PA      | $47183.74      | 0.00%             | 2050-08-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                             | Uber Technologies Inc                                                                                         | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    6280000 | PA      | $6232494.94    | 0.14%             | 2035-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                 | Union Electric Co                                                                                             | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     370000 | PA      | $297395.25     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                                                         | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     940000 | PA      | $815215.00     | 0.02%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                                                         | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1075000 | PA      | $1136382.50    | 0.03%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                                                         | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    5845000 | PA      | $6331596.25    | 0.14%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                                                         | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4320000 | PA      | $4846360.16    | 0.11%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                          | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    7615000 | PA      | $8041440.00    | 0.18%             | 2038-01-29      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                          | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    8010000 | PA      | $8003592.00    | 0.18%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                                                         | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43919561 | PA      | $35055426.09   | 0.78%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11885000 | PA      | $9780519.37    | 0.22%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                                                         | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8531556 | PA      | $6533552.86    | 0.14%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14635000 | PA      | $12869653.13   | 0.28%             | 2043-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                                                         | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22524464 | PA      | $19428040.45   | 0.43%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63465000 | PA      | $53476699.96   | 1.18%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55100000 | PA      | $44564277.21   | 0.99%             | 2044-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26985000 | PA      | $19541988.93   | 0.43%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                                                         | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19630954 | PA      | $14795323.42   | 0.33%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18100000 | PA      | $12911097.61   | 0.29%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                                                         | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8086870 | PA      | $6303094.83    | 0.14%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23034000 | PA      | $17439257.46   | 0.39%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12500000 | PA      | $9649414.00    | 0.21%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14136000 | PA      | $10883063.40   | 0.24%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17840000 | PA      | $13616240.67   | 0.30%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43015000 | PA      | $33516414.37   | 0.74%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                                                         | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   38455810 | PA      | $23065814.69   | 0.51%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100845000 | PA      | $50107359.38   | 1.11%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23005000 | PA      | $11724462.36   | 0.26%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58725000 | PA      | $43403739.11   | 0.96%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16225000 | PA      | $13940190.47   | 0.31%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19765000 | PA      | $18420825.64   | 0.41%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31690000 | PA      | $26430202.81   | 0.58%             | 2053-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62680000 | PA      | $58444203.44   | 1.29%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11555000 | PA      | $11712075.78   | 0.26%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                           | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20075000 | PA      | $20677250.00   | 0.46%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69295000 | PA      | $60503196.88   | 1.34%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $94105469.00   | 2.08%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   66985000 | PA      | $63044398.38   | 1.39%             | 2027-11-30      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22605000 | PA      | $22885796.60   | 0.51%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44415000 | PA      | $45017031.56   | 1.00%             | 2028-07-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                                                         | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57398485 | PA      | $57613361.29   | 1.27%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72045000 | PA      | $72602223.41   | 1.61%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   56335000 | PA      | $55683626.56   | 1.23%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21330000 | PA      | $21653282.81   | 0.48%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  125730000 | PA      | $126162196.88  | 2.79%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                           | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12945000 | PA      | $13118948.44   | 0.29%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     590000 | PA      | $493262.95     | 0.01%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     865000 | PA      | $651536.11     | 0.01%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    2080000 | PA      | $1556016.47    | 0.03%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     385000 | PA      | $340356.57     | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     380000 | PA      | $395825.47     | 0.01%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     400000 | PA      | $410756.33     | 0.01%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     865000 | PA      | $906452.97     | 0.02%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PFC1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    2020000 | PA      | $1943498.84    | 0.04%             | 2054-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PFM9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1607818.85    | 0.04%             | 2064-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1190370.89    | 0.03%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                  | VB-S1 Issuer LLC - VBTEL                                                                                      | CUSIP: 91823ABC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3965000 | PA      | $3994301.35    | 0.09%             | 2054-05-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| VFI ABS LLC                                       | VFI ABS 2025-1 LLC                                                                                            | CUSIP: 91824UAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1561414 | PA      | $1566404.13    | 0.03%             | 2030-06-24      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCVII LLC                                                                                                | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      21381 | PA      | $21337.04      | 0.00%             | 2051-04-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                          | Vantage Data Centers Issuer LLC                                                                               | CUSIP: 92212KAG1<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    5500000 | PA      | $5511774.40    | 0.12%             | 2054-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                             | Venture Global Plaquemines LNG LLC                                                                            | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    2025000 | PA      | $2226890.48    | 0.05%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 42 CLO Ltd                                                                                            | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |    8270000 | PA      | $8271174.34    | 0.18%             | 2034-04-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-R1                                                                            | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214407 | PA      | $206536.26     | 0.00%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-R2                                                                            | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909473 | PA      | $850277.57     | 0.02%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-2                                                                             | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     876935 | PA      | $800037.02     | 0.02%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-8                                                                             | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2383938 | PA      | $2211610.85    | 0.05%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-4                                                                             | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1629946 | PA      | $1359052.65    | 0.03%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-5                                                                             | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1780722 | PA      | $1542448.83    | 0.03%             | 2066-09-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-3                                                                             | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7480752 | PA      | $7221849.53    | 0.16%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-1                                                                             | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3735414 | PA      | $3514155.48    | 0.08%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-3                                                                             | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8285238 | PA      | $7296191.29    | 0.16%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    2450000 | PA      | $1855456.12    | 0.04%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    1525000 | PA      | $1370386.24    | 0.03%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    2025000 | PA      | $1660188.07    | 0.04%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1142377.49    | 0.03%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     105000 | PA      | $97128.66      | 0.00%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                       | Viatris Inc                                                                                                   | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    3080000 | PA      | $2346371.57    | 0.05%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                | CUSIP: 927804FT6<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     210000 | PA      | $176841.96     | 0.00%             | 2045-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                | CUSIP: 927804GD0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     660000 | PA      | $386842.02     | 0.01%             | 2050-12-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                | CUSIP: 927804GK4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2380000 | PA      | $2427669.62    | 0.05%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                | CUSIP: 927804GP3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2675000 | PA      | $2706657.31    | 0.06%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                | CUSIP: 927804GQ1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     830000 | PA      | $800193.08     | 0.02%             | 2054-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                | CUSIP: 927804GR9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1182175.46    | 0.03%             | 2034-08-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2175000 | PA      | $2218597.98    | 0.05%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     833000 | PA      | $838480.86     | 0.02%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                                                | CUSIP: 927804GV0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2265000 | PA      | $2258167.92    | 0.05%             | 2035-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCV LLC                                                                                                  | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     376474 | PA      | $375968.35     | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                                                          | CUSIP: 92933BAQ7<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |    6310000 | PA      | $6018874.27    | 0.13%             | 2030-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                                                          | CUSIP: 92933BAR5<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |    1135000 | PA      | $1061789.89    | 0.02%             | 2031-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                                                          | CUSIP: 92933BAT1<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1616709.43    | 0.04%             | 2029-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2011-C4                                                                       | CUSIP: 92936CBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     345000 | PA      | $299729.10     | 0.01%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                   | WHARF Commercial Mortgage Trust 2025-DC                                                                       | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4675000 | PA      | $4802141.77    | 0.11%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                       | Wayfair LLC                                                                                                   | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2326657.50    | 0.05%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PES ENERGY LIQUIDATING TRUST                      | PES ENERGY LIQUIDATING TRUST                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      13623 | NS      | $0.00          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                                               | CUSIP: 94989HBM1<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |     255000 | PA      | $237410.10     | 0.01%             | 2048-05-15      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2024-C63                                                                | CUSIP: 94990FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28536614 | PA      | $2027403.69    | 0.04%             | 2057-08-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7463000 | PA      | $6957931.03    | 0.15%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     890000 | PA      | $903437.66     | 0.02%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     965000 | PA      | $998798.48     | 0.02%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1104000 | PA      | $1167853.23    | 0.03%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     370000 | PA      | $386244.32     | 0.01%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1435000 | PA      | $1485199.00    | 0.03%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1915000 | PA      | $1974945.61    | 0.04%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2019-1 Trust                                                           | CUSIP: 95001TAA3<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |       4910 | PA      | $4683.57       | 0.00%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                                                           | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    1258879 | PA      | $1240737.44    | 0.03%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                                                           | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    7075317 | PA      | $6589392.11    | 0.15%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                                                           | CUSIP: 95058XAL2<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    9418859 | PA      | $8428794.08    | 0.19%             | 2051-06-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                                                           | CUSIP: 95058XAP3<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    1654087 | PA      | $1608540.19    | 0.04%             | 2052-03-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| PES Holdings LLC                                  | PES Holdings LLC 2018 Term Loan C                                                                             | CUSIP: 71571EAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     352263 | PA      | $1761.31       | 0.00%             | 2025-12-31      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL (DUS)                             | FANNIE MAE POOL (DUS)                                                                                         | CUSIP: 000000000<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    4400000 | PA      | $4433000.00    | 0.10%             | 2030-11-01      | Fixed         | 4.30%                 | No            |                  3 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                                                      | CUSIP: 960386AS9<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2841508.31    | 0.06%             | 2030-05-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                             | Whistler Pipeline LLC                                                                                         | CUSIP: 96337RAB8<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |    1380000 | PA      | $1427436.81    | 0.03%             | 2031-09-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                             | Whistler Pipeline LLC                                                                                         | CUSIP: 96337RAC6<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |    1295000 | PA      | $1329774.53    | 0.03%             | 2034-09-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                              | Wingstop Funding LLC                                                                                          | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11455550 | PA      | $11070376.61   | 0.24%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                              | Wingstop Funding LLC                                                                                          | CUSIP: 974153AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2135000 | PA      | $2201938.66    | 0.05%             | 2054-12-05      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT                           | Wisconsin Power and Light Co                                                                                  | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    2010000 | PA      | $2078063.44    | 0.05%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WULF COMPUTE LLC                                  | WULF Compute LLC                                                                                              | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1135000 | PA      | $1179123.06    | 0.03%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                                               | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    1475000 | PA      | $1464751.88    | 0.03%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                                               | CUSIP: 98389BBD1<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    2785000 | PA      | $2821192.33    | 0.06%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                                               | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    1775000 | PA      | $1841572.09    | 0.04%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                   | Zayo Issuer LLC                                                                                               | CUSIP: 98919WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5780000 | PA      | $5873716.92    | 0.13%             | 2055-03-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ INVESTOR                           | Mitsubishi UFJ Investor Services & Banking Luxembourg SA                                                      | CUSIP: 000000000<br>LEI: 2138002PVBMEHILJ1340 | Long             | DBT              | CORP              | LU        |    1500000 | PA      | $1115989.33    | 0.02%             | 2050-12-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3402000 | PA      | $3385920.23    | 0.07%             | 2030-11-01      | Fixed         | 3.96%                 | No            |                  3 | On Loan: No      |
| LCH Ltd.                                          | Long: B9D0PVZF2 IRS USD R V 12MSOFR 99D0PVZG0 CCPOIS / Short: B9D0PVZF2 IRS USD P F  1.56000 99D0PVZF2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12720000 | OU      | $5350196.25    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: B9D0UTL09 IRS USD R V 12MSOFR 99D0UTL17 CCPOIS / Short: B9D0UTL09 IRS USD P F  2.88000 99D0UTL09 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7545000 | OU      | $1461552.39    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: B9D0UXBE1 IRS USD R V 12MSOFR 99D0UXBF8 CCPOIS / Short: B9D0UXBE1 IRS USD P F  2.97000 99D0UXBE1 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16045000 | OU      | $2843266.26    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: B9D0V4P66 IRS USD R V 12MSOFR 99D0V4P74 CCPOIS / Short: B9D0V4P66 IRS USD P F  3.25000 99D0V4P66 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7880000 | OU      | $991850.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: B9D0WFLF4 IRS USD R V 12MSOFR 99D0WFLG2 CCPOIS / Short: B9D0WFLF4 IRS USD P F  3.59000 99D0WFLF4 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12140000 | OU      | $792418.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: B9D0ZZB84 IRS USD R V 12MSOFR 99D0ZZB92 CCPOIS / Short: B9D0ZZB84 IRS USD P F  3.70361 99D0ZZB84 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   24075000 | OU      | $-211768.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: B9D101AN3 IRS USD R V 12MSOFR 99D101AQ6 CCPOIS / Short: B9D101AN3 IRS USD P F  3.75000 99D101AN3 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7350000 | OU      | $306619.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: B9D107ZT0 IRS USD R V 12MSOFR 99D107ZW3 CCPOIS / Short: B9D107ZT0 IRS USD P F  4.16000 99D107ZT0 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   78275000 | OU      | $-1850117.53   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                                                         | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    4320000 | PA      | $4456108.24    | 0.10%             | 2032-04-28      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                                               | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1045000 | PA      | $716766.12     | 0.02%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                   | North Macedonia Government International Bond                                                                 | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |    3615000 | PA      | $4170580.11    | 0.09%             | 2026-06-03      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                | Leviathan Bond Ltd                                                                                            | CUSIP: 000000000<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |    3025000 | PA      | $3037856.25    | 0.07%             | 2027-06-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BULGARIA                                          | Bulgaria Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |    1810000 | PA      | $1223609.27    | 0.03%             | 2050-09-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    5115000 | PA      | $3897656.87    | 0.09%             | 2040-12-02      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1310000 | PA      | $998226.88     | 0.02%             | 2040-12-02      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                       | Ivory Coast Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    2850000 | PA      | $3176604.80    | 0.07%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                             | Indonesia Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    5720000 | PA      | $5547066.93    | 0.12%             | 2033-03-12      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                                                   | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    4610000 | PA      | $4449973.16    | 0.10%             | 2031-03-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   11590000 | PA      | $8869056.31    | 0.20%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                           | Philippine Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    4820000 | PA      | $4735591.86    | 0.10%             | 2033-04-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                           | Philippine Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    1120000 | PA      | $948348.07     | 0.02%             | 2041-04-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1365000 | PA      | $1042381.32    | 0.02%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| MBANK SA                                          | mBank SA                                                                                                      | CUSIP: 000000000<br>LEI: 259400DZXF7UJKK2AY35 | Long             | DBT              | CORP              | PL        |    2600000 | PA      | $2941029.11    | 0.07%             | 2027-09-21      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| BCP MODULAR SERVICES                              | BCP V Modular Services Finance II PLC                                                                         | CUSIP: 000000000<br>LEI: 213800227GGD6UI7PI97 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $434872.78     | 0.01%             | 2028-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANCA TRANSILVANIA                                | Banca Transilvania SA                                                                                         | CUSIP: 000000000<br>LEI: 549300RG3H390KEL8896 | Long             | DBT              | CORP              | RO        |    2655000 | PA      | $3135530.13    | 0.07%             | 2027-04-27      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                                                   | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    1905000 | PA      | $2032901.60    | 0.04%             | 2033-09-30      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BULGARIA                                          | Bulgaria Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |    2585000 | PA      | $3315212.76    | 0.07%             | 2036-05-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| METRO BANK HOLDINGS PLC                           | Metro Bank Holdings PLC                                                                                       | CUSIP: 000000000<br>LEI: 984500CDDEAD6C2EDQ64 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $2097113.49    | 0.05%             | 2029-04-30      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| CD&R FIREFLY BIDCO LTD                            | CD&R Firefly Bidco PLC                                                                                        | CUSIP: 000000000<br>LEI: 213800OAU5VX61DYZ558 | Long             | DBT              | CORP              | GB        |    1600000 | PA      | $2196814.74    | 0.05%             | 2029-04-30      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                 | Iliad Holding SAS                                                                                             | CUSIP: 000000000<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |    1900000 | PA      | $2345776.59    | 0.05%             | 2031-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PL                          | Bellis Acquisition Co PLC                                                                                     | CUSIP: 000000000<br>LEI: 259400CYE2267UB4A481 | Long             | DBT              | CORP              | GB        |    1350000 | PA      | $1713674.71    | 0.04%             | 2030-05-14      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| BERTRAND FRANCHISE                                | Bertrand Franchise Finance SAS                                                                                | CUSIP: 000000000<br>LEI: 969500HGPPEHSTNJFW57 | Long             | DBT              | CORP              | FR        |    1525000 | PA      | $1703127.49    | 0.04%             | 2030-07-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITED GROUP BV                                   | United Group BV                                                                                               | CUSIP: 000000000<br>LEI: 213800PC85O8BJ7DU398 | Long             | DBT              | CORP              | NL        |     975000 | PA      | $1143127.70    | 0.03%             | 2031-10-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ITELYUM REGENERATION SPA                          | Itelyum Regeneration Spa                                                                                      | CUSIP: 000000000<br>LEI: 815600051FBC23AA8A45 | Long             | DBT              | CORP              | IT        |    1900000 | PA      | $2220902.03    | 0.05%             | 2030-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                          | Clarios Global LP / Clarios US Finance Co                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1900000 | PA      | $2233830.75    | 0.05%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CREDIABANK SA                                     | CrediaBank SA                                                                                                 | CUSIP: 000000000<br>LEI: 213800FFWYE3BQ1CU978 | Long             | DBT              | CORP              | GR        |     900000 | PA      | $1105383.96    | 0.02%             | 2031-01-31      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)DEC25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        990 | NC      | $-803703.92    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT DEC25                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        371 | NC      | $797046.58     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND DEC25                                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -69 | NC      | $-240246.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT DEC25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        267 | NC      | $-87203.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE DEC25                                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -711 | NC      | $-515608.46    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT DEC25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        253 | NC      | $1090713.01    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) DEC25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        323 | NC      | $121360.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) DEC25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -71 | NC      | $21928.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT DEC25                                                                                       | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        799 | NC      | $44588.39      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) DEC25                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       2398 | NC      | $-1088016.63   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| INTL AIRPORT FINANCE SA                           | International Airport Finance SA                                                                              | CUSIP: 000000000<br>LEI: 959800M9M5LP0KXUP789 | Long             | DBT              | CORP              | ES        |     551143 | PA      | $588045.87     | 0.01%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| State Street Global Advisors                      | State Street Navigator Securities Lending Government Money Market Portfolio                                   | CUSIP: 857509301<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |   21825752 | NS      | $21825752.50   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                    | 99D11FDX6 WELLINGTON                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   10300000 | NC      | $411205.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 99D11FDI9 WELLINGTON                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | AD        |   10300000 | NC      | $538453.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-14

**Name of Applicant:** HARTFORD MUTUAL FUNDS, INC

**Signature:** William Zook

**Name of Signer:** William Zook

**Title:** Assistant Treasurer